dorsal/arxiv
View SchemaNon-Stationary Covariance Matrices And Noise
| Authors | André C. R. Martins |
|---|---|
| Categories | |
| ArXiv ID | physics/0610165 |
| URL | https://arxiv.org/abs/physics/0610165 |
| DOI | 10.1016/j.physa.2006.12.020 |
| Journal | Physica A, 379, pp. 552-558 (2007) |
Abstract
The exact meaning of the noise spectrum of eigenvalues of the covariance matrix is discussed. In order to better understand the possible phenomena behind the observed noise, the spectrum of eigenvalues of the covariance matrix is studied under a model where most of the true eigenvalues are zero and the parameters are non-stationary. The results are compared with real observation of Brazilian assets, suggesting that, although the non-stationarity seems to be an important aspect of the problem, partially explaining some of the eigenvalues as well as part of the kurtosis of the assets, it can not, by itself, provide all the corrections needed to make the proposed model fit the data perfectly.
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"abstract": "The exact meaning of the noise spectrum of eigenvalues of the covariance\nmatrix is discussed. In order to better understand the possible phenomena\nbehind the observed noise, the spectrum of eigenvalues of the covariance matrix\nis studied under a model where most of the true eigenvalues are zero and the\nparameters are non-stationary. The results are compared with real observation\nof Brazilian assets, suggesting that, although the non-stationarity seems to be\nan important aspect of the problem, partially explaining some of the\neigenvalues as well as part of the kurtosis of the assets, it can not, by\nitself, provide all the corrections needed to make the proposed model fit the\ndata perfectly.",
"arxiv_id": "physics/0610165",
"authors": [
"Andr\u00e9 C. R. Martins"
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"doi": "10.1016/j.physa.2006.12.020",
"journal_ref": "Physica A, 379, pp. 552-558 (2007)",
"title": "Non-Stationary Covariance Matrices And Noise",
"url": "https://arxiv.org/abs/physics/0610165"
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