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Shrinkage and spectral filtering of correlation matrices: A comparison via the Kullback-Leibler distance (Articolo in rivista)

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Shrinkage and spectral filtering of correlation matrices: A comparison via the Kullback-Leibler distance (Articolo in rivista) (literal)

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Tumminello, M; Lillo, F; Mantegna, RN (2007)
Shrinkage and spectral filtering of correlation matrices: A comparison via the Kullback-Leibler distance
in Acta Physica Polonica. B
(literal)

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Univ Palermo, Dipartimento Fis & Tecnol Relat, I-90128 Palermo, Italy; Santa Fe Inst, Santa Fe, NM 87501 USA; CNR, SOFT INFM, Res Ctr, I-00185 Rome, Italy (literal)

Titolo

Shrinkage and spectral filtering of correlation matrices: A comparison via the Kullback-Leibler distance (literal)

Abstract

The problem of filtering information from large correlation matrices is of great importance in many applications. We have recently proposed the use of the Kullback-Leibler distance to measure the performance of filtering algorithms in recovering the underlying correlation matrix when the variables are described by a multivariate Gaussian distribution. Here we use the Kullback-Leibler distance to investigate the performance of filtering methods based on Random Matrix Theory and on the shrinkage technique. We also present some results on the application of the Kullback-Leibler distance to multivariate data which are non Gaussian distributed. (literal)

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