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Exponential smoothing weighted correlations

Pozzi, Francesco; Di Matteo, Tiziana; Aste, Tomaso

Description

In many practical applications, correlation matrices might be affected by the "curse of dimensionality" and by an excessive sensitiveness to outliers and remote observations. These shortcomings can cause problems of statistical robustness especially accentuated when a system of dynamic correlations over a running window is concerned. These drawbacks can be partially mitigated by assigning a structure of weights to observational events. In this paper, we discuss Pearson's and Kendall's...[Show more]

CollectionsANU Research Publications
Date published: 2012
Type: Journal article
URI: http://hdl.handle.net/1885/65527
Source: European Physical Journal B
DOI: 10.1140/epjb/e2012-20697-x

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