Random selection of factors preserves the correlation structure in a linear factor model to a high degree

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dc.contributor University of Helsinki, Confederation of Finnish Industries (EK) en
dc.contributor University of Helsinki, Department of Mathematics and Statistics en
dc.contributor.author Tanskanen, Antti J.
dc.contributor.author Lukkarinen, Jani
dc.contributor.author Vatanen, Kari
dc.date.accessioned 2019-01-09T13:17:01Z
dc.date.available 2019-01-09T13:17:01Z
dc.date.issued 2018-12-21
dc.identifier.citation Tanskanen , A J , Lukkarinen , J & Vatanen , K 2018 , ' Random selection of factors preserves the correlation structure in a linear factor model to a high degree ' , PLoS One , vol. 13 , no. 12 , 0206551 . https://doi.org/10.1371/journal.pone.0206551 en
dc.identifier.issn 1932-6203
dc.identifier.other PURE: 120443351
dc.identifier.other PURE UUID: 5d256134-cd6c-4f78-9a97-9be4b5f81109
dc.identifier.other WOS: 000454149400004
dc.identifier.other ORCID: /0000-0002-8757-1134/work/52693030
dc.identifier.other Scopus: 85058909117
dc.identifier.uri http://hdl.handle.net/10138/288726
dc.description.abstract 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. en
dc.format.extent 22
dc.language.iso eng
dc.relation.ispartof PLoS One
dc.rights en
dc.subject JOHNSON-LINDENSTRAUSS en
dc.subject MATRIX en
dc.subject NOISE en
dc.subject RANDOM PROJECTION en
dc.subject 111 Mathematics en
dc.subject 112 Statistics and probability en
dc.title Random selection of factors preserves the correlation structure in a linear factor model to a high degree en
dc.type Article
dc.description.version Peer reviewed
dc.identifier.doi https://doi.org/10.1371/journal.pone.0206551
dc.type.uri info:eu-repo/semantics/other
dc.type.uri info:eu-repo/semantics/publishedVersion
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