Pregled bibliografske jedinice broj: 868382
A Generalization of Random Matrix Theory and its Application to Statistical Physics
A Generalization of Random Matrix Theory and its Application to Statistical Physics // Chaos, 27 (2017), 023104, 5 doi:10.1063/1.4975217 (međunarodna recenzija, članak, znanstveni)
CROSBI ID: 868382 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
A Generalization of Random Matrix Theory and its
Application to Statistical Physics
Autori
Wang, Duan ; Zhang, Xiva ; Horvatić, Davor ; Podobnik, Boris ; Stanley, HE
Izvornik
Chaos (1054-1500) 27
(2017);
023104, 5
Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni
Ključne riječi
cross-correlations
Sažetak
To study the statistical structure of crosscorrel ations in empirical data, we generalize random matrix theory and propose a new method of cross- correlation analysis, known as autoregressive random matrix theory (ARRMT). ARRMT takes into account the influence of auto-correlations in the study of cross- correlations in multiple time series. We first analytically and numerically determine how auto-correlations affect the eigenva lue distribution of the correlation matrix. Then we introduce ARRMT with a detailed procedure of how to implement the method. Finally, we illustrate the method using two examples taken from inflation rates for air pressure data for 95 US cities. Published by AIP Publishing
Izvorni jezik
Engleski
Znanstvena područja
Fizika
POVEZANOST RADA
Projekti:
114-0352827-1370 - Istraživanje dugodosežnih korelacija i stohastično modeliranje na nivou stanice
Ustanove:
Građevinski fakultet, Rijeka,
Prirodoslovno-matematički fakultet, Zagreb,
Zagrebačka škola ekonomije i managementa, Zagreb
Citiraj ovu publikaciju:
Časopis indeksira:
- Current Contents Connect (CCC)
- Web of Science Core Collection (WoSCC)
- Science Citation Index Expanded (SCI-EXP)
- SCI-EXP, SSCI i/ili A&HCI
- Scopus
- MEDLINE
