Signal and noise in correlation matrix

Z. Burda, A. Görlich, A. Jarosz and J. Jurkiewicz

Physica A: Statistical Mechanics and its Applications, 2004, vol. 343, issue C, 295-310

Abstract: Using random matrix technique we determine an exact relation between the eigenvalue spectrum of the covariance matrix and of its estimator. This relation can be used in practice to compute eigenvalue invariants of the covariance (correlation) matrix. Results can be applied in various problems where one experimentally estimates correlations in a system with many degrees of freedom, like for instance those in statistical physics, lattice measurements of field theory, genetics, quantitative finance and other applications of multivariate statistics.

Keywords: Random matrix theory; Correlation matrix; Eigenvalue spectrum (search for similar items in EconPapers)
Date: 2004
References: View complete reference list from CitEc
Citations: View citations in EconPapers (17)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:343:y:2004:i:c:p:295-310

DOI: 10.1016/j.physa.2004.05.048

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