摘要 We studied the eigenvalue spectral density of the

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論文資訊

• 類型：已發表論文
• 日期：2005

摘要

We studied the eigenvalue spectral density of the correlation matrix of factor models of multivariate time series. By making use of the random matrix theory, we analytically quantified the effect of 統計 uncertainty on the spectral density due to the finiteness of the sample. We considered a broad range of models, ranging from one-factor models to hierarchical multifactor models.

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