Volume 107, Number 4, August 2014
|Number of page(s)||6|
|Published online||19 August 2014|
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
Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.
Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.
Initial download of the metrics may take a while.