Related papers: Cross-Correlation in cricket data and RMT
Financial data has been extensively studied for correlations using Pearson's cross-correlation coefficient {\rho} as the point of departure. We employ an estimator based on recurrence plots --- the Correlation of Probability of Recurrence…
We study the distribution of the number of (non-backtracking) periodic walks on large regular graphs. We propose a formula for the ratio between the variance of the number of $t$-periodic walks and its mean, when the cardinality of the…
We demonstrate in this paper the use of tools of complex network theory to describe the strategy of Australia and England in the recently concluded Ashes 2013 Test series. Using partnership data made available by cricinfo during the Ashes…
The study of correlated time-series is ubiquitous in statistical analysis, and the matrix decomposition of the cross-correlations between time series is a universal tool to extract the principal patterns of behavior in a wide range of…
Most cluster randomized trials (CRTs) randomize fewer than 30-40 clusters in total. When performing inference for such ``small'' CRTs, it is important to use methods that appropriately account for the small sample size. When the generalized…
In random-matrix ensembles that interpolate between the three basic ensembles (orthogonal, unitary, and symplectic), there exist correlations between elements of the same eigenvector and between different eigenvectors. We study such…
Spatial time series (STS) data are fundamental to climate science, yet conventional approaches often conflate temporal co-evolution with genuine spatial dependence, obscuring subtle but critical climatic anomalies. We introduce a Random…
In Major League Baseball, every ballpark is different, with different dimensions and climates. These differences make some ballparks more conducive to hitting home runs than others. Several factors conspire to make estimation of these…
In this paper analogies between different (dis)similarity matrices are derived. These matrices, which are connected to path enumeration and random walks, are used in community detection methods or in computation of centrality measures for…
The parallel cluster randomized trial with baseline (PB-CRT) is a common variant of the standard parallel cluster randomized trial (P-CRT). We define two natural estimands in the context of PB-CRTs with informative cluster sizes, the…
The dynamics of the equal-time cross-correlation matrix of multivariate financial time series is explored by examination of the eigenvalue spectrum over sliding time windows. Empirical results for the S&P 500 and the Dow Jones Euro Stoxx 50…
Random matrix theory allows one to deduce the eigenvalue spectrum of a large matrix given only statistical information about its elements. Such results provide insight into what factors contribute to the stability of complex dynamical…
We analyze statistical properties of complex eigenvalues of random matrices $\hat{A}$ close to unitary. Such matrices appear naturally when considering quantized chaotic maps within a general theory of open linear stationary systems with…
Multivariate statistical analysis is concerned with observations on several variables which are thought to possess some degree of inter-dependence. Driven by problems in genetics and the social sciences, it first flowered in the earlier…
Unlike classical simple random walks, one-dimensional random walks in random environments (RWRE) are known to have a wide array of potential limiting distributions. Under certain assumptions, however, it is known that CLT-like limiting…
We analyse the structure of the distribution of eigenvalues of the stock market correlation matrix with increasing length of the time series representing the price changes. We use 100 highly-capitalized stocks from the American market and…
We present a Gaussian ensemble of random cyclic matrices on the real field and study their spectral fluctuations. These cyclic matrices are shown to be pseudo-symmetric with respect to generalized parity. We calculate the joint probability…
Interval jitter and spike resampling methods are used to analyze the time scale on which temporal correlations occur. They allow the computation of jitter corrected cross correlograms and the performance of an associated statistically…
We develop a Markov model of curling matches, parametrised by the probability of winning an end and the probability distribution of scoring ends. In practical applications, these end-winning probabilities can be estimated econometrically,…
We propose a modified time lag random matrix theory in order to study time lag cross-correlations in multiple time series. We apply the method to 48 world indices, one for each of 48 different countries. We find long-range power-law…