Distribution of eigenvalues of detrended cross-correlation matrix
1 School of Science, Beijing Jiaotong University - Beijing 100044, PRC
2 Beth Israel Deaconess Medical Center, Harvard Medical School - Boston 02215, MA, USA
Received: 20 May 2014
Accepted: 28 July 2014
This letter is devoted to the cross-correlation analysis of non-stationary multivariate data, in which the detrended cross-correlation matrix based on the detrended cross-correlation coefficient is studied. The relationship between Pearson's cross-correlation coefficient and the detrended cross-correlation coefficient is analyzed. As a special case of random matrix theory, the distribution of the eigenvalues of the detrended cross-correlation matrix for purely random variables is derived.
PACS: 02.50.Sk – Multivariate analysis / 02.10.Yn – Matrix theory / 89.20.-a – Interdisciplinary applications of physics
© EPLA, 2014