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Covariance and correlation estimators in bipartite complex systems with a double heterogeneity
Elena Puccio, Jyrki Piilo, Michele Tumminello
We present a weighted estimator of the covariance and correlation in bipartite complex systems with a double layer of heterogeneity. The advantage provided by the weighted estimato…
Shrinkage and spectral filtering of correlation matrices: a comparison via the Kullback-Leibler distance
M. Tumminello, F. Lillo, R. N. Mantegna
The problem of filtering information from large correlation matrices is of great importance in many applications. We have recently proposed the use of the Kullback-Leibler distance…
Kullback-Leibler distance as a measure of the information filtered from multivariate data
Michele Tumminello, Fabrizio Lillo, Rosario Nunzio Mantegna
We show that the Kullback-Leibler distance is a good measure of the statistical uncertainty of correlation matrices estimated by using a finite set of data. For correlation matrice…