A Random Matrix Approach to Dynamic Factors in macroeconomic data

Details A Random Matrix Approach to Dynamic Factors in macroeconomic data A Random Matrix Approach to Dynamic Factors in macroeconomic data

2012-01-31

arxiv.org/abs/1201.6544v1

Economy

Quantitative Finance

Statistical Finance

arXiv admin note: text overlap with arXiv:physics/0512090 by other authors

Scientific paper

We show how random matrix theory can be applied to develop new algorithms to extract dynamic factors from macroeconomic time series. In particular, we consider a limit where the number of random variables N and the number of consecutive time measurements T are large but the ratio N / T is fixed. In this regime the underlying random matrices are asymptotically equivalent to Free Random Variables (FRV).Application of these methods for macroeconomic indicators for Poland economy is also presented.

Affiliated with

Also associated with

No associations

Rating

A Random Matrix Approach to Dynamic Factors in macroeconomic data does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with A Random Matrix Approach to Dynamic Factors in macroeconomic data, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and A Random Matrix Approach to Dynamic Factors in macroeconomic data will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-57060