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Cross-Correlation Dynamics in Financial Time Series
Correlation Matrix Eigenspectrum Analysis Econophysics
2010/4/27
The dynamics of the equal-time cross-correlation matrix of multivariate financial time series is explored by examination of the eigenvalue spectrum over sliding time windows. Empirical results for the...
Multiscaled Cross-Correlation Dynamics in Financial Time-Series
Cross-Correlation Dynamics Financial Time-Series
2010/4/27
The cross correlation matrix between equities comprises multiple interactions between traders with varying strategies and time horizons. In this paper, we use the Maximum Overlap Discrete Wavelet Tran...
期刊信息
篇名
A cross-associative neural network used as SVD of non-square data matrix or cross-correlation matrix in signal processing
语种
英文
撰写或编译
撰写
作者
Da-Zheng Feng,Hai-Qin Zhang,Xian-Da Zhang,and Zheng ...