922 citations · 1.5k across the 12 of their papers we have counts for
Showing physics.data-anShow all
2 papers · 1 filter
physics.data-an2007★ 7 cited
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…
physics.data-an2007★ 73 cited
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…