Noise dressing of the correlation matrix of factor models

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dc.creatorLillo, Fabrizio
dc.creatorMantegna, Rosario N.
dc.date2003-05-23
dc.date.accessioned2026-07-07T02:51:29Z
dc.date.available2026-07-07T02:51:29Z
dc.descriptionWe study the spectral density of factor models of multivariate time series. By making use of the Random Matrix Theory we analytically quantify the effect of noise dressing on the spectral density due to the finiteness of the sample. We consider a broad range of models ranging from one factor models in time and frequency domain to hierarchical multifactor models.
dc.description4 pages, 2 figures
dc.identifierhttps://arxiv.org/abs/cond-mat/0305546
dc.identifierhttp://arxiv.org/abs/cond-mat/0305546
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/21477
dc.subjectStatistical Mechanics
dc.titleNoise dressing of the correlation matrix of factor models
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