We present a general method to detect and extract from a finite time sample statistically meaningful correlations between input and output variables of large dimensionality. Our central result is derived from the theory of free random matrices, and gives an explicit expression for the interval where singular values are expected in the absence of any true correlations between the variables under study. Our result can be seen as the natural generalization of the Marčenko-Pastur distribution for the case of rectangular correlation matrices. We illustrate the interest of our method on a set of macroeconomic time series. © EDP Sciences/Società Italiana di Fisica/Springer- Verlag 2007.

Large dimension forecasting models and random singular value spectra / J. P., Bouchaud; L., Laloux; Miceli, Maria Augusta; M., Potters. - In: THE EUROPEAN PHYSICAL JOURNAL. B, CONDENSED MATTER PHYSICS. - ISSN 1434-6028. - STAMPA. - 55:2(2007), pp. 201-207. [10.1140/epjb/e2006-00204-0]

Large dimension forecasting models and random singular value spectra

MICELI, Maria Augusta;
2007

Abstract

We present a general method to detect and extract from a finite time sample statistically meaningful correlations between input and output variables of large dimensionality. Our central result is derived from the theory of free random matrices, and gives an explicit expression for the interval where singular values are expected in the absence of any true correlations between the variables under study. Our result can be seen as the natural generalization of the Marčenko-Pastur distribution for the case of rectangular correlation matrices. We illustrate the interest of our method on a set of macroeconomic time series. © EDP Sciences/Società Italiana di Fisica/Springer- Verlag 2007.
2007
forecasting; inversion; large databases; svd
01 Pubblicazione su rivista::01a Articolo in rivista
Large dimension forecasting models and random singular value spectra / J. P., Bouchaud; L., Laloux; Miceli, Maria Augusta; M., Potters. - In: THE EUROPEAN PHYSICAL JOURNAL. B, CONDENSED MATTER PHYSICS. - ISSN 1434-6028. - STAMPA. - 55:2(2007), pp. 201-207. [10.1140/epjb/e2006-00204-0]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/71382
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