Signal and Noise in Correlation Matrix
Statistical Mechanics
2010-01-15 v2
Abstract
Using random matrix technique we determine an exact relation between the eigenvalue spectrum of the covariance matrix and of its estimator. This relation can be used in practice to compute eigenvalue invariants of the covariance (correlation) matrix. Results can be applied in various problems where one experimentally estimates correlations in a system with many degrees of freedom, like in statistical physics, lattice measurements of field theory, genetics, quantitative finance and other applications of multivariate statistics.
Cite
@article{arxiv.cond-mat/0305627,
title = {Signal and Noise in Correlation Matrix},
author = {Z. Burda and A. Goerlich and A. Jarosz and J. Jurkiewicz},
journal= {arXiv preprint arXiv:cond-mat/0305627},
year = {2010}
}
Comments
17 pages, 3 figures, corrected typos, revtex style changed to elsart