Noise dressing of the correlation matrix of factor models

2003/05/23 by Fabrizio Lillo, Rosario N. Mantegna, Lillo, Fabrizio +1
Computer Science · Physics and Astronomy · #FOS: Physical sciences #Neural Networks and Applications #Statistical Mechanics (cond-mat.stat-mech) #cond-mat.stat-mech

paper · pdf · doi:10.48550/arxiv.cond-mat/0305546

4 pages, 2 figures

arxiv created 2003/05/23 · openalex publication_date 2003/05/23 · arxiv updated 2009/11/30 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We 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.

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