A Random Matrix Approach to Dynamic Factors in macroeconomic data
Statistical Finance
2023-07-19 v1 Computational Physics
Data Analysis, Statistics and Probability
Physics and Society
Abstract
We show how random matrix theory can be applied to develop new algorithms to extract dynamic factors from macroeconomic time series. In particular, we consider a limit where the number of random variables N and the number of consecutive time measurements T are large but the ratio N / T is fixed. In this regime the underlying random matrices are asymptotically equivalent to Free Random Variables (FRV).Application of these methods for macroeconomic indicators for Poland economy is also presented.
Cite
@article{arxiv.1201.6544,
title = {A Random Matrix Approach to Dynamic Factors in macroeconomic data},
author = {Małgorzata Snarska},
journal= {arXiv preprint arXiv:1201.6544},
year = {2023}
}
Comments
arXiv admin note: text overlap with arXiv:physics/0512090 by other authors