Numerical Study of Generalized Random Correlation Matrices : Autocorrelation Effects(Random Matrix Theory,Proceedings of the YITP Workshop on Econophysics,Econophysics 2011-The Hitchhiker's Guide to the Economy-)
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概要
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We report the numerical calculations of the maximal eigenvalue for random correlation matrices which contain autocorrelations in data. Here the AR(1) model is adopted for such a study, we work out an empirical formula for autocorrelation correction of the maximal eigenvalue, which are accurate in a wide range of parameters. As an application of this formula, we propose a criterion to single out statistically meaningful correlations in the principal component analysis. The new criterion within the AR(1) model incorporates autocorrelation effects into the current method based on the random matrix theory.
- 2012-06-14
著者
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Iyetomi Hiroshi
Department Of Physics Niigata University
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Arai Yuta
Graduate School Of Science And Technology Niigata University
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ARAI Yuta
Graduate School of Science and Technology, Niigata University
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