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2008 | 114 | 3 | 555-559
Article title

Toy Model for Large Non-Symmetric Random Matrices

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Abstracts
EN
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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author
  • Mark Kac Complex Systems Research Center, Institute of Physics, Jagellonian University, 30-059 Cracow, Reymonta 4, Poland
References
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Document Type
Publication order reference
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YADDA identifier
bwmeta1.element.bwnjournal-article-appv114n309kz
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