From the 1 of 5 linked papers with an AI index.
5 papers
Deformation of semi-circle law for the correlated time series and Phase transition
Masato Hisakado, Takuya Kaneko
The paper analyzes random matrices built from temporally correlated financial time series, showing how the eigenvalue distribution deviates from the classic semicircle law and iden…
A Cascade of Volterra-Operator BBP Transitions in a Correlated Wigner Matrix
Masato Hisakado
We study a Wigner-type random matrix in which the off-diagonal correlation between entries is generated by a random factor shared among all entries in a given row and column, with…
Temporal Coarse-Graining of Multi-Sector Default Count Data Generates Posterior-Implied Copulas
Shintaro Mori, Masato Hisakado
Sectoral default dependence is usually described by a static correlation matrix, a static copula, or a small number of common factors. Such representations, when specified separate…
Phase transition in a long-memory log-Gaussian Cox process
Masato Hisakado, Shintaro Mori
We study a stochastic point process with power-law temporal correlations driven by hidden variables. We show that a generalized Merton-type model under an exponential-tail asset as…
Deformation of Marchenko-Pastur distribution for the correlated time series
Masato Hisakado, Takuya Kaneko
We study the eigenvalue of the Wishart matrix, which is created from a time series with temporal correlation. When there is no correlation, the eigenvalue distribution of the Wisha…