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2012 | 121 | 2B | B-110-B-120
Article title

A Random Matrix Approach to Dynamic Factors in Macroeconomic Data

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Abstracts
EN
We show how random matrix theory can be applied to develop new algorithms to extract dynamic factors from macroeconomic time series. In particular, we consider a limit where the number of random variables N and the number of consecutive time measurements T are large but the ratio N/T is fixed. In this regime the underlying random matrices are asymptotically equivalent to Free Random Variables (FRV).Application of these methods for macroeconomic indicators for Poland economy is also presented.
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Contributors
author
  • Marian Smoluchowski Institute of Physics and Mark Kac Complex Systems Research Centre, Jagiellonian University, Reymonta 4, 30-059 Kraków, Poland
  • Cracow University of Economics, Department of Econometrics and Operations Research, Rakowicka 27, 31-510 Kraków, Poland
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Document Type
Publication order reference
YADDA identifier
bwmeta1.element.bwnjournal-article-appv121n2ba121z2bp21kz
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