| Spectral properties of empirical covariance matrices for data with power-law tails. | |
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MedLine Citation:
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PMID: 17155044 Owner: NLM Status: PubMed-not-MEDLINE |
Abstract/OtherAbstract:
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We present an analytic method for calculating spectral densities of empirical covariance matrices for correlated data. In this approach the data is represented as a rectangular random matrix whose columns correspond to sampled states of the system. The method is applicable to a class of random matrices with radial measures including those with heavy (power-law) tails in the probability distribution. As an example we apply it to a multivariate Student distribution. |
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Authors:
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Zdzisław Burda; Andrzej T Görlich; Bartłomiej Wacław |
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Publication Detail:
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Type: Journal Article Date: 2006-10-31 |
Journal Detail:
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Title: Physical review. E, Statistical, nonlinear, and soft matter physics Volume: 74 ISSN: 1539-3755 ISO Abbreviation: Phys Rev E Stat Nonlin Soft Matter Phys Publication Date: 2006 Oct |
Date Detail:
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Created Date: 2006-12-12 Completed Date: 2007-01-11 Revised Date: - |
Medline Journal Info:
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Nlm Unique ID: 101136452 Medline TA: Phys Rev E Stat Nonlin Soft Matter Phys Country: United States |
Other Details:
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Languages: eng Pagination: 041129 Citation Subset: - |
Affiliation:
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Mark Kac Center for Complex Systems Research and Marian Smoluchowski Institute of Physics, Jagellonian University, Reymonta 4, 30-059 Krakow, Poland. burda@th.if.uj.edu.pl |
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From MEDLINE®/PubMed®, a database of the U.S. National Library of Medicine
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