Signal and Noise in Correlation Matrix

Details Signal and Noise in Correlation Matrix Signal and Noise in Correlation Matrix

2003-05-27

arxiv.org/abs/cond-mat/0305627v2

Physica A343:295,2004

Physics

Condensed Matter

Statistical Mechanics

17 pages, 3 figures, corrected typos, revtex style changed to elsart

Scientific paper

10.1016/j.physa.2004.05.048

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 in statistical physics, lattice measurements of field theory, genetics, quantitative finance and other applications of multivariate statistics.

Affiliated with

Also associated with

No associations

Rating

Signal and Noise in Correlation Matrix 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 Signal and Noise in Correlation Matrix, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Signal and Noise in Correlation Matrix will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-478584