Large dimension forecasting models and random singular value spectra

European Physical Journal B

Volumn 55, Issue 2, 2007, Pages 201-207

  Bouchaud, J P ^a,b   Laloux, L ^a   Miceli, M A ^a,c   Potters, M ^a  

^a Science and Finance   (France)

^b SERVICE DE PHYSIQUE DE L ETAT CONDENSÉ   (France)

^c SAPIENZA UNIVERSITY OF ROME   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

FREE RANDOM MATRICES; LARGE DIMENSION FORECASTING MODELS; OUTPUT VARIABLES; RANDOM SINGULAR VALUE SPECTRA;

CORRELATION METHODS; MATHEMATICAL MODELS; MATRIX ALGEBRA; RANDOM PROCESSES; TIME SERIES ANALYSIS;

STATISTICAL METHODS;

EID: 33847258368     PISSN: 14346028     EISSN: 14346036     Source Type: Journal    
DOI: 10.1140/epjb/e2006-00204-0     Document Type: Article

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