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Toy Model for Large Non-Symmetric Random Matrices

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  • Ma{l}gorzata Snarska

Abstract

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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  • Ma{l}gorzata Snarska, 2010. "Toy Model for Large Non-Symmetric Random Matrices," Papers 1004.4522, arXiv.org.
    • Handle: RePEc:arx:papers:1004.4522
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