Signal and noise in correlation matrix

Physica A: Statistical Mechanics and its Applications

Volumn 343, Issue 1-4, 2004, Pages 295-310

  Burda, Z ^a   Gorlich A ^a   Jarosz, A ^a   Jurkiewicz, J ^a  

^a JAGIELLONIAN UNIVERSITY   (Poland)

Author keywords

Correlation matrix; Eigenvalue spectrum; Random matrix theory

Indexed keywords

APPROXIMATION THEORY; CORRELATION METHODS; DEGREES OF FREEDOM (MECHANICS); EIGENVALUES AND EIGENFUNCTIONS; PROBABILITY DISTRIBUTIONS; SIGNAL TO NOISE RATIO;

CORRELATION MATRIX; EIGENVALUE SPECTRUM; MULTIVARIATE STATISTICS; RANDOM MATRIX THEORY;

MATRIX ALGEBRA;

EID: 4544304147     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2004.05.048     Document Type: Article

References (6)

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6. Z. Burda, J. Jurkiewicz, Signal and noise in financial correlation matrices, cond-mat/0312496.