Spectral density of the correlation matrix of factor models: A random matrix theory approach

Fabrizio Lillo, Rosario Nunzio Mantegna, Fabrizio Lillo, Rosario N. Mantegna

Research output: Contribution to journalArticlepeer-review

24 Citations (Scopus)

Abstract

We studied the eigenvalue spectral density of the correlation matrix of factor models of multivariate time series. By making use of the random matrix theory, we analytically quantified the effect of statistical uncertainty on the spectral density due to the finiteness of the sample. We considered a broad range of models, ranging from one-factor models to hierarchical multifactor models.
Original languageEnglish
Pages (from-to)016219-1-016219-10
Number of pages10
JournalPHYSICAL REVIEW E, STATISTICAL, NONLINEAR, AND SOFT MATTER PHYSICS
Volume72
Publication statusPublished - 2005

All Science Journal Classification (ASJC) codes

  • Statistical and Nonlinear Physics
  • Statistics and Probability
  • Condensed Matter Physics

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