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Random matrix approach to the dynamics of stock inventory variations
Random matrix approach dynamics stock inventory variations
2012/3/2
We study the cross-correlation matrix $C_{ij}$ of inventory variations of the most active individual and institutional investors in an emerging market to understand the dynamics of inventory variation...
Random matrix approach in search for weak signals immersed in background noise
Random matrix approach search signals immersed background noise
2011/10/17
We present new, original and alternative method for searching signals coded in noisy data. The method is based on the properties of random matrix eigenvalue spectra. First, we describe general ideas a...
Random matrix approach in search for weak signals immersed in background noise
Random matrix weak signals immerse background noise
2011/8/4
Abstract: We present new, original and alternative method for searching signals coded in noisy data. The method is based on the properties of random matrix eigenvalue spectra. First, we describe gener...
We consider a structural model for the estimation of credit risk based on Merton's original model. By using Random-Matrix theory we demonstrate analytically that the presence of correlations severely ...
We apply random matrix theory to derive spectral density of large sample covariance matrices generated by multivariate VMA(q), VAR(q) and VARMA(q1,q2) processes. In particular, we consider a limit wh...
A Random Matrix Approach to VARMA Processes
VARMA random matrix theory free random variables Wishart ensemble covariance matrix historical estimation
2010/4/27
We apply random matrix theory to derive spectral density of large sample covariance matrices generated by multivariate VMA(q), VAR(q) and VARMA(q1,q2) processes. In particular, we consider a limit whe...