A Random Matrix Approach to Dynamic Factors in Macroeconomic Data

• Authors: M. Snarska
• Languages of publication: EN

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.

Keywords

EN

89.65.Gh; 02.50.Sk; 02.70.-c; 02.70.Uu

Discipline

• 02.70.-c: Computational techniques; simulations(for quantum computation, see 03.67.Lx; for computational techniques extensively used in subdivisions of physics, see the appropriate section; for example, see 47.11.-j Computational methods in fluid dynamics)
• 89.65.Gh: Economics; econophysics, financial markets, business and management(for economic issues regarding production and use of renewable energy, see 88.05.Lg)
• 02.50.Sk: Multivariate analysis
• 02.70.Uu: Applications of Monte Carlo methods(see also 02.50.Ng in probability theory, stochastic processes, and statistics, and 05.10.Ln in statistical physics)

• Publisher: Institute of Physics, Polish Academy of Sciences
• Journal: Acta Physica Polonica A
• Year: 2012
• Volume: 121
• Issue: 2B
• Pages: B-110-B-120

Dates

published

2012-02

Contributors

author

M. Snarska

• 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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Identifiers

DOI

10.12693/APhysPolA.121.B-110