Toy Model for Large Non-Symmetric Random Matrices
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.
|Date of creation:||Apr 2010|
|Date of revision:|
|Publication status:||Published in Acta Physica Polonica A, 2008 Vol.114 Issue 3 p.555 - 559|
|Contact details of provider:|| Web page: http://arxiv.org/|
When requesting a correction, please mention this item's handle: RePEc:arx:papers:1004.4522. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators)
If references are entirely missing, you can add them using this form.