Spectral properties of correlation matrices for some hierarchically nested factor models

zbMATH Open1147.62345MaRDI QIDQ3534411FDOQ3534411

Authors: Michele Tumminello, Fabrizio Lillo, Rosario Nunzio Mantegna 

Publication date: 3 November 2008

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zbMATH Keywords

hierarchical clusteringcomplex systemscorrelation analysis

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20) Eigenvalues, singular values, and eigenvectors (15A18)

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• Hierarchically nested factor model from multivariate data
• The ultrametric correlation matrix for modelling hierarchical latent concepts
• Spectral PCA for MANOVA and data over binary trees
• TOPOLOGICAL PROPERTIES OF BANK NETWORKS: THE CASE OF BRAZIL

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