Noise dressing of the correlation matrix of factor models

Details Noise dressing of the correlation matrix of factor models Noise dressing of the correlation matrix of factor models

2003-05-23

arxiv.org/abs/cond-mat/0305546v1

Physics

Condensed Matter

Statistical Mechanics

4 pages, 2 figures

Scientific paper

We study the spectral density of factor models of multivariate time series.
By making use of the Random Matrix Theory we analytically quantify the effect
of noise dressing on the spectral density due to the finiteness of the sample.
We consider a broad range of models ranging from one factor models in time and
frequency domain to hierarchical multifactor models.

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