Correction: Random selection of factors preserves the correlation structure in a linear factor model to a high degree
العنوان: | Correction: Random selection of factors preserves the correlation structure in a linear factor model to a high degree |
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المؤلفون: | Kari Vatanen, Jani Lukkarinen, Antti J. Tanskanen |
المصدر: | PLoS ONE, Vol 14, Iss 1, p e0211610 (2019) |
بيانات النشر: | Public Library of Science (PLoS), 2019. |
سنة النشر: | 2019 |
مصطلحات موضوعية: | Multidisciplinary, Random projection, lcsh:R, Probabilistic logic, lcsh:Medicine, 0102 computer and information sciences, 01 natural sciences, 010104 statistics & probability, Matrix (mathematics), 010201 computation theory & mathematics, Covariance and correlation, Applied mathematics, lcsh:Q, Noise (video), 0101 mathematics, Representation (mathematics), lcsh:Science, Randomness, Mathematics, Vector space |
الوصف: | In a very high-dimensional vector space, two randomly-chosen vectors are almost orthogonal with high probability. Starting from this observation, we develop a statistical factor model, the random factor model, in which factors are chosen stochastically based on the random projection method. Randomness of factors has the consequence that correlation and covariance matrices are well preserved in a linear factor representation. It also enables derivation of probabilistic bounds for the accuracy of the random factor representation of time-series, their cross-correlations and covariances. As an application, we analyze reproduction of time-series and their cross-correlation coefficients in the well-diversified Russell 3,000 equity index. |
اللغة: | English |
تدمد: | 1932-6203 |
URL الوصول: | https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8f2675e71d5f3007568f8029df193153 http://europepmc.org/articles/PMC6347217?pdf=render |
حقوق: | OPEN |
رقم الأكسشن: | edsair.doi.dedup.....8f2675e71d5f3007568f8029df193153 |
قاعدة البيانات: | OpenAIRE |
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