A Note on a Statistical Hypothesis Testing for Removing Noise by the Random Matrix Theory, and Its Application to Co-Volatility Matrices
Year of publication: |
2010
|
---|---|
Authors: | Morimoto, Takayuki |
Other Persons: | Tachibana, Kanta (contributor) |
Publisher: |
[2010]: [S.l.] : SSRN |
Subject: | Lineare Algebra | Linear algebra | Statistischer Test | Statistical test | Theorie | Theory | Statistische Methodenlehre | Statistical theory | Korrelation | Correlation |
Extent: | 1 Online-Ressource (16 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 19, 2010 erstellt |
Other identifiers: | 10.2139/ssrn.1501013 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
-
A note on testing the covariance matrix for large dimension
Birke, Melanie, (2003)
-
High dimensional correlation matrices : CLT and its applications
Gao, Jiti, (2014)
-
Gungor, Sermin, (2013)
- More ...
-
Volatility spillover among Japanese sectors in response to COVID-19
Shigemoto, Hideto, (2022)
-
Shigemoto, Hideto, (2023)
-
Jump diffusion model with application to the Japanese stock market
Maekawa, Koichi, (2008)
- More ...