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Toy Model for Large Non-Symmetric Random Matrices

Listed author(s):
  • Ma{\l}gorzata Snarska

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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Paper provided by in its series Papers with number 1004.4522.

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Date of creation: Apr 2010
Publication status: Published in Acta Physica Polonica A, 2008 Vol.114 Issue 3 p.555 - 559
Handle: RePEc:arx:papers:1004.4522
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