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RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
International Journal of Theoretical and Applied Finance, 2000We show that results from the theory of random matrices are potentially of great interest when trying to understand the statistical structure of the empirical correlation matrices appearing in the study of multivariate financial time series. We find a remarkable agreement between the theoretical prediction (based on the assumption that the correlation
Laloux, Laurent +3 more
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Nonnegative matrix factorization of a correlation matrix
2008Electrical Engineering, Mathematics and Computer ...
Sonneveld, P. (author) +3 more
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Matrix Formulas for Part and Partial Correlation
Psychometrika, 1965General formulas for part and partial correlation of any order are derived in terms of multiple correlation coefficients, standard partial regression weights, and validities. The relationship between part correlation and the “independent contribution of a predictor” is discussed.
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On eigenvalues of a high-dimensional Kendall’s rank correlation matrix with dependence
Science China Mathematics, 2023Zeng Li, Qinwen Wang
exaly
CORRELATION MATRIX FOR SIMULTANEOUSLY CORRELATING MULTIPLE WELLS
2021SUN TAO +6 more
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Cleaning large correlation matrices: Tools from Random Matrix Theory
Physics Reports, 2017Joel Bun +2 more
exaly