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.
|Number of pages||10|
|Journal||PHYSICAL REVIEW E, STATISTICAL, NONLINEAR, AND SOFT MATTER PHYSICS|
|Publication status||Published - 2005|
All Science Journal Classification (ASJC) codes
- Statistical and Nonlinear Physics
- Statistics and Probability
- Condensed Matter Physics