Journal
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
Volume 343, Issue -, Pages 295-310Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.physa.2004.05.048
Keywords
random matrix theory; correlation matrix; eigenvalue spectrum
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Using random matrix technique we determine an exact relation between the eigenvalue spectrum of the covariance matrix and of its estimator. This relation can be used in practice to compute eigenvalue invariants of the covariance (correlation) matrix. Results can be applied in various problems where one experimentally estimates correlations in a system with many degrees of freedom, like for instance those in statistical physics, lattice measurements of field theory, genetics, quantitative finance and other applications of multivariate statistics. (C) 2004 Elsevier B.V. All rights reserved.
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