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

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

Risultato della ricerca: Article

23 Citazioni (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.
Lingua originaleEnglish
pagine (da-a)016219-1-016219-10
Numero di pagine10
RivistaPHYSICAL REVIEW E, STATISTICAL, NONLINEAR, AND SOFT MATTER PHYSICS
Volume72
Stato di pubblicazionePublished - 2005

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All Science Journal Classification (ASJC) codes

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

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