- Tytuł:
- A Random Matrix Approach to Dynamic Factors in Macroeconomic Data
- Autorzy:
- Snarska, M.
- Powiązania:
- https://bibliotekanauki.pl/articles/1408904.pdf
- Data publikacji:
- 2012-02
- Wydawca:
- Polska Akademia Nauk. Instytut Fizyki PAN
- Tematy:
-
89.65.Gh
02.50.Sk
02.70.-c
02.70.Uu - Opis:
- We show how random matrix theory can be applied to develop new algorithms to extract dynamic factors from macroeconomic time series. In particular, we consider a limit where the number of random variables N and the number of consecutive time measurements T are large but the ratio N/T is fixed. In this regime the underlying random matrices are asymptotically equivalent to Free Random Variables (FRV).Application of these methods for macroeconomic indicators for Poland economy is also presented.
- Źródło:
-
Acta Physica Polonica A; 2012, 121, 2B; B-110-B-120
0587-4246
1898-794X - Pojawia się w:
- Acta Physica Polonica A
- Dostawca treści:
- Biblioteka Nauki
Artykuł