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  1. 2 Acta Physica Polonica A

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  1. 1 2012

  2. 1 2008

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  1. 2 Snarska M.

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A Random Matrix Approach to Dynamic Factors in Macroeconomic Data

100%
Snarska M.
Acta Physica Polonica A
|
2012
|
vol. 121
|
issue 2B
B-110-B-120
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.
2
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Toy Model for Large Non-Symmetric Random Matrices

100%
Snarska M.
Acta Physica Polonica A
|
2008
|
vol. 114
|
issue 3
555-559
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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