Cluster structure in the correlation coefficient matrix can be characterized by abnormal eigenvalues

DOI10.1016/J.PHYSA.2017.09.066OpenAlexW2756784991MaRDI QIDQ2148646FDOQ2148646

Chun-Xiao Nie

Publication date: 24 June 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2017.09.066

Recommendations

• Eigenvectors of a kurtosis matrix as interesting directions to reveal cluster structure
• Clusterization of Correlation Functions
• Large values of the clustering coefficient
• Correlation clustering
• Correlation clustering
• Correlation Clustering
• How to Deduce a Proper Eigenvalue Cluster from a Proper Singular Value Cluster in the Nonnormal Case
• Eigenvalue-eigenvector analysis for a class of patterned correlation matrices with an application
• Properties of eigenvalues and eigenvectors of large-dimensional sample correlation matrices

zbMATH Keywords

time seriesrandom matrix theorydimensioncluster structurefinancial market

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

• Clustering of time series data -- a survey
• Title not available (Why is that?)
• Title not available (Why is that?)
• Hidden noise structure and random matrix models of stock correlations
• Cleaning large correlation matrices: tools from random matrix theory
• Dynamics of cluster structure in financial correlation matrix

Cited In (3)

• Applying correlation dimension to the analysis of the evolution of network structure
• Recognition of the scale-free interval for calculating the correlation dimension using machine learning from chaotic time series
• Eigenvectors of a kurtosis matrix as interesting directions to reveal cluster structure

This page was built for publication: Cluster structure in the correlation coefficient matrix can be characterized by abnormal eigenvalues

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2148646)