Toy Model for Large Non-Symmetric Random Matrices

Malgorzata Snarska

Papers from arXiv.org

Abstract: Non-symmetric rectangular correlation matrices occur in many problems in economics. We test the method of extracting statistically meaningful correlations between input and output variables of large dimensionality and build a toy model for artificially included correlations in large random time series.The results are then applied to analysis of polish macroeconomic data and can be used as an alternative to classical cointegration approach.

Date: 2010-04
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Published in Acta Physica Polonica A, 2008 Vol.114 Issue 3 p.555 - 559

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1004.4522

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