Toy Model for Large Non-Symmetric Random Matrices |
| M. Snarska
Mark Kac Complex Systems Research Center, Institute of Physics, Jagellonian University, 30-059 Cracow, Reymonta 4, Poland |
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| Received: 22 11 2007; |
| Non-symmetric rectangular correlation matrices occur in many problems in economics. We test the method of extracting statistically meaningful correlations between input and output variables of large dimensionality and build a toy model for artificially included correlations in large random time series.The results are then applied to analysis of polish macroeconomic data and can be used as an alternative to classical cointegration approach. |
| DOI: 10.12693/APhysPolA.114.555 PACS numbers: 02.05.Sk, 02.70.Hm, 89.65.Gh, 02.50.-r, 89.20.-a |