Title variants
Languages of publication
Abstracts
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.
Discipline
- 02.70.Hm: Spectral methods
- 02.50.-r: Probability theory, stochastic processes, and statistics(see also section 05 Statistical physics, thermodynamics, and nonlinear dynamical systems)
- 89.20.-a: Interdisciplinary applications of physics
- 89.65.Gh: Economics; econophysics, financial markets, business and management(for economic issues regarding production and use of renewable energy, see 88.05.Lg)
Journal
Year
Volume
Issue
Pages
555-559
Physical description
Dates
published
2008-09
received
2007-11-22
Contributors
author
- Mark Kac Complex Systems Research Center, Institute of Physics, Jagellonian University, 30-059 Cracow, Reymonta 4, Poland
References
- 1. C.W. Granger, J. Econometrics 100, 17 (2001)
- 2. T. Bollerslev, R.F. Engle, J.M. Wooldridge, J. Political Economy 96, 116 (1988)
- 3. C.A. Sims, Econometrica 48, 1 (1980)
- 4. J.P. Bouchaud, L. Laloux. M.A. Micelli, M. Potters, Large dimension forecasting models and random singular value spectra, http://arxiv.org/pdf/cond-mat/0512090
- 5. A. Edelman, N. Raj Rao, Acta Numerica 1, (2005)
- 6. V.A. Marčenko, L.A. Pastur, Math USSR Sbornik 1, 457 (1967)
- 7. L. Laloux, P. Cizeau, J.P. Bouchaud, M. Potters, Noise Dressing of Financial Correlation Matrices, http://arxiv.org/pdf/cond-mat/9810255/
- 8. Z. Burda, A. Goerlich, A. Jarosz, J. Jurkiewicz, Signal and Noise in Correlation Matrix, http://arxiv.org/pdf/cond-mat/0305627
- 9. S.H. Friedberg, A.J. Insel, L.E. Spence, Linear Algebra, Prentice Hall, Upper Saddle River 2002
Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.bwnjournal-article-appv114n309kz