{
  "id": "cond-mat/0305627",
  "version": "v2",
  "published": "2003-05-27T17:48:10.000Z",
  "updated": "2004-02-03T14:44:36.000Z",
  "title": "Signal and Noise in Correlation Matrix",
  "authors": [
    "Z. Burda",
    "A. Goerlich",
    "A. Jarosz",
    "J. Jurkiewicz"
  ],
  "comment": "17 pages, 3 figures, corrected typos, revtex style changed to elsart",
  "journal": "Physica A343:295,2004",
  "doi": "10.1016/j.physa.2004.05.048",
  "categories": [
    "cond-mat.stat-mech"
  ],
  "abstract": "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 in statistical physics, lattice measurements of field theory, genetics, quantitative finance and other applications of multivariate statistics.",
  "revisions": [
    {
      "version": "v2",
      "updated": "2004-02-03T14:44:36.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "05.40.Fb",
      "89.65.Gh"
    ],
    "keywords": [
      "correlation matrix",
      "random matrix technique",
      "exact relation",
      "covariance matrix",
      "eigenvalue invariants"
    ],
    "tags": [
      "journal article"
    ],
    "note": {
      "typesetting": "RevTeX",
      "pages": 17,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "inspire": 642030
    }
  }
}