Under the high-dimensional setting that the data dimension and sample size tend to infinity proportionally, we derive the limiting spectral distribution and establish the central limit theorem of the ...

How to Calculate the Correlation Coefficient A simple calculation method is to use what's known as the Pearson correlation coefficient calculator, named after the English mathematician Karl Pearson.

We introduce the matrix multivariate auto-distance covariance and correlation functions for time series, discuss their interpretation and develop consistent estimators for practical implementation.

A second-order confirmatory factor analysis model is applied to a correlation matrix of Thurstone reported by McDonald (1985). Using the LINEQS statement, the three-term second-order factor analysis ...

For example, a downward move of the S&P 500 leads to an increased average correlation between stocks. Here again, RMT provides powerful tools to describe the time evolution of the full covariance ...