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Eigenvalue density of empirical covariance matrix for correlated samples
We describe a method to determine the eigenvalue density of empirical covariance matrix in the presence of correlations between samples. This is a straightforward generalization of the method developed earlier by the authors for uncorrelated samples (Z. Burda, A. Görlich, J. Jurkiewicz, B. Waclaw, cond-mat/0508341). The method allows for exact determination of the experimental spectrum for a given covariance matrix and given correlations between samples in the limit
| dc.abstract.en | We describe a method to determine the eigenvalue density of empirical covariance matrix in the presence of correlations between samples. This is a straightforward generalization of the method developed earlier by the authors for uncorrelated samples (Z. Burda, A. Görlich, J. Jurkiewicz, B. Waclaw, cond-mat/0508341). The method allows for exact determination of the experimental spectrum for a given covariance matrix and given correlations between samples in the limit $N\rightarrow \infty$ and N/T = r = const with N being the number of degrees of freedom and T being the number of samples. We discuss the effect of correlations on several examples. | pl |
| dc.affiliation | Wydział Fizyki, Astronomii i Informatyki Stosowanej : Instytut Fizyki Teoretycznej | pl |
| dc.affiliation | Wydział Fizyki, Astronomii i Informatyki Stosowanej : Instytut Fizyki im. Mariana Smoluchowskiego | pl |
| dc.conference | Conference on Applications of Random Matrices to Economy and Other Complex Systems | pl |
| dc.conference.city | Kraków | |
| dc.conference.country | Polska | |
| dc.conference.datefinish | 2005-05-28 | |
| dc.conference.datestart | 2005-05-25 | |
| dc.conference.indexscopus | true | |
| dc.conference.indexwos | true | |
| dc.contributor.author | Burda, Zdzisław - 127492 | pl |
| dc.contributor.author | Jurkiewicz, Jerzy - 128560 | pl |
| dc.contributor.author | Wacław, Bartłomiej | pl |
| dc.date.accession | 2022-08-30 | pl |
| dc.date.accessioned | 2022-08-30T12:49:56Z | |
| dc.date.available | 2022-08-30T12:49:56Z | |
| dc.date.issued | 2005 | pl |
| dc.date.openaccess | 0 | |
| dc.description.accesstime | w momencie opublikowania | |
| dc.description.conftype | local | pl |
| dc.description.number | 9 | pl |
| dc.description.physical | 2641-2652 | pl |
| dc.description.version | ostateczna wersja wydawcy | |
| dc.description.volume | 36 | pl |
| dc.identifier.eissn | 1509-5770 | pl |
| dc.identifier.issn | 0587-4254 | pl |
| dc.identifier.uri | https://ruj.uj.edu.pl/xmlui/handle/item/298568 | |
| dc.identifier.weblink | https://www.actaphys.uj.edu.pl/R/36/9/2641/pdf | pl |
| dc.language | eng | pl |
| dc.language.container | eng | pl |
| dc.rights | Udzielam licencji. Uznanie autorstwa 4.0 Międzynarodowa | * |
| dc.rights.licence | CC-BY | |
| dc.rights.uri | http://creativecommons.org/licenses/by/4.0/legalcode.pl | * |
| dc.share.type | otwarte czasopismo | |
| dc.subtype | ConferenceProceedings | pl |
| dc.title | Eigenvalue density of empirical covariance matrix for correlated samples | pl |
| dc.title.journal | Acta Physica Polonica. B | pl |
| dc.type | JournalArticle | pl |
| dspace.entity.type | Publication |
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Except as otherwise noted, this item is licensed under the Attribution 4.0 International licence