Toy Model for Large Non-Symmetric Random Matrices
AbstractNon-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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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1004.4522.
Date of creation: Apr 2010
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Publication status: Published in Acta Physica Polonica A, 2008 Vol.114 Issue 3 p.555 - 559
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-05-02 (All new papers)
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