The Student ensemble of correlation matrices: eigenvalue spectrum and Kullback-Leibler entropy

zbMATH Open1373.62283arXiv0710.0802MaRDI QIDQ5359671FDOQ5359671

Authors: Jean-Philippe Bouchaud, Marc Potters, Giulio Biroli 

Publication date: 27 September 2017

Full work available at URL: https://arxiv.org/abs/0710.0802

Recommendations

• RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
• Random matrix ensembles of time-lagged correlation matrices: derivation of eigenvalue spectra and analysis of financial time-series
• Cleaning large correlation matrices: tools from random matrix theory
• scientific article; zbMATH DE number 572176
• Generic features in the spectral decomposition of correlation matrices

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Measures of association (correlation, canonical correlation, etc.) (62H20) Order statistics; empirical distribution functions (62G30) Measures of information, entropy (94A17)

Cited In (10)

• Asymptotic form of the Kullback-Leibler divergence for multivariate asymmetric heavy-tailed distributions
• Constructing analytically tractable ensembles of stochastic covariances with an application to financial data
• Exact multivariate amplitude distributions for non-stationary Gaussian or algebraic fluctuations of covariances or correlations
• Random matrix models for datasets with fixed time horizons
• A memory-based method to select the number of relevant components in principal component analysis
• Matrix moments in a real, doubly correlated algebraic generalization of the Wishart model
• Emergence of statistically validated financial intraday lead-lag relationships
• High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: risk underestimation
• Amalgamated free Lévy processes as limits of sample covariance matrices
• Cleaning large correlation matrices: tools from random matrix theory

This page was built for publication: The Student ensemble of correlation matrices: eigenvalue spectrum and Kullback-Leibler entropy

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5359671)