相关论文: Temporal correlations versus noise in the correlat…

Simultaneous estimates of the activity in the left and right auditory cortex of five normal human subjects were extracted from Multichannel Magnetoencephalography recordings. Left, right and binaural stimulation were used, in separate runs,…

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…

Using Random Matrix Theory one can derive exact relations between the eigenvalue spectrum of the covariance matrix and the eigenvalue spectrum of its estimator (experimentally measured correlation matrix). These relations will be used to…

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…

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…

We analyze the spectral properties of correlation matrices between distinct statistical systems. Such matrices are intrinsically non symmetric, and lend themselves to extend the spectral analyses usually performed on standard Pearson…

A question of cooperative effects in auditory brain processing on various space- and time-scales is addressed. The experimental part of our study is based on Multichannel Magnetoencephalography recordings in normal human subjects. Left,…

We analyze the effects of noise correlations in the input to, or among, BCM neurons using the Wigner semicircular law to construct random, positive-definite symmetric correlation matrices and compute their eigenvalue distributions. In the…

We consider linear time-varying channels with additive white Gaussian noise. For a large class of such channels we derive rigorous estimates of the eigenvalues of the correlation matrix of the effective channel in terms of the sampled…

We derive the exact form of the eigenvalue spectra of correlation matrices derived from a set of time-shifted, finite Brownian random walks (time-series). These matrices can be seen as random, real, asymmetric matrices with a special…

Conventionally, covariances do not distinguish between spatial and temporal correlations. The same covariance matrix could equally describe temporal correlations between observations of the same system at two different times or correlations…

For a large class of quantum systems the statistical properties of their spectrum show remarkable agreement with random matrix predictions. Recent advances show that the scope of random matrix theory is much wider. In this work, we show…

We obtain general, exact formulas for the overlaps between the eigenvectors of large correlated random matrices, with additive or multiplicative noise. These results have potential applications in many different contexts, from quantum…

{Recently, we found that the correlation between the eigenvalues of random hermitean matrices exhibits universal behavior. Here we study this universal behavior and develop a diagrammatic approach which enables us to extend our previous…

The momentum or velocity autocorrelation function C(t) for a tagged oscillator in a finite harmonic system decays like that of an infinite system for short times, but exhibits erratic behavior at longer time scales. We introduce the…

We introduce a method for describing eigenvalue distributions of correlation matrices from multidimensional time series. Using our newly developed matrix H theory, we improve the description of eigenvalue spectra for empirical correlation…

We analyze the spectral properties of large, time-lagged correlation matrices using the tools of random matrix theory. We compare predictions of the one-dimensional spectra, based on approaches already proposed in the literature. Employing…

We investigate quantum correlations in time in different approaches. We assume that temporal correlations should be treated in an even-handed manner with spatial correlations. We compare the pseudo-density matrix formalism with several…

We use methods of random matrix theory to analyze the cross-correlation matrix C of price changes of the largest 1000 US stocks for the 2-year period 1994-95. We find that the statistics of most of the eigenvalues in the spectrum of C agree…

The correlated variability in the responses of a neural population to the repeated presentation of a sensory stimulus is a universally observed phenomenon. Such correlations have been studied in much detail, both with respect to their…