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Fluctuation-Dissipation Theory of Input-Output Interindustrial Correlations
Fluctuation-Dissipation Theory Input-Output Interindustrial Correlations
2010/11/3
The fluctuation-dissipation theory is invoked to shed light on input-output industrial correlations at a macroscopic level; it is applied to the IIP (indices of industrial production) data in Japan.
Universal Correlations and Power-Law Tails in Financial Covariance Matrices
Universal Correlations Power-Law Tails Financial Covariance Matrices
2010/11/1
Signatures of universality are detected by comparing individual eigenvalue distributions and level spacings from financial covariance matrices to random matrix predictions. A chopping procedure is dev...
Compensating asynchrony effects in the calculation of financial correlations
Financial correlations Epps effect Market emergence Covariance estimation Asynchronous time series
2010/11/2
We present a method to compensate statistical errors in the calculation of correlations on asynchronous time series.The method is based on the assumption of an underlying time series. We set up a mode...