Spectral density of the correlation matrix of factor models: A random matrix theory approach

Physical Review E - Statistical, Nonlinear, and Soft Matter Physics

Volumn 72, Issue 1, 2005, Pages

  Lillo, F ^a,b,c   Mantegna, R N ^b,c  

^a SANTA FE INSTITUTE   (United States)

^b UNIVERSITY OF PALERMO   (Italy)

^c INFN SEZIONE DI CATANIA   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

HIERARCHICAL MULTIFACTOR MODELS; RANDOM MATRIX THEORY;

EIGENVALUES AND EIGENFUNCTIONS; MATHEMATICAL MODELS; RANDOM PROCESSES; STATISTICAL METHODS;

MATRIX ALGEBRA;

EID: 27244458635     PISSN: 15393755     EISSN: 15502376     Source Type: Journal    
DOI: 10.1103/PhysRevE.72.016219     Document Type: Article

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