Toy Model for Large Non-Symmetric Random Matrices

Details Toy Model for Large Non-Symmetric Random Matrices Toy Model for Large Non-Symmetric Random Matrices

2010-04-26

arxiv.org/abs/1004.4522v1

Acta Physica Polonica A, 2008 Vol.114 Issue 3 p.555 - 559

Physics

Data Analysis, Statistics and Probability

5 pages, 3 figures, Proceedings of the 3rd Polish Symposium on Econo- and Sociophysics, Wroclaw 2007,

Scientific paper

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.

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