Let {X,Xk,i; i ≥ 1, k ≥ 1} be a double array of nondegenerate i.i.d. random variables and let {pn; n ≥ 1} be a sequence of positive integers such that n/pn is bounded away from 0 and ∞. This work is devoted to the solution to an open problem posed in Li, Liu, and Rosalsky (2010) on the asymptotic distribution of the largest entry Ln = max1≤i<j≤pn ∣∣ρ̂(n) i,j ∣∣ of the sample correlation matrix Γ...

We derive sufficient conditions for the cross-correlation coefficient of a multivariate spatial process to vary with location when the spatial model is augmented with nugget effects. The derived class is valid for any choice of covariance functions, and yields substantial flexibility between multiple processes. The key is to identify the cross-correlation coefficient matrix with a contraction m...

(a) Evaluate analytically the error probability performance of an optimal receiver for N = 1 and m ∈ {1, 2, 3, 4, 5, 6}, and for N = 4 and m ∈ {1, 2, 3, 4, 5, 6}. Plot the error probability v.s. m on a single graph for both N = 1 and N = 4. using the logarithmic scale for the error probability axis. (b) Write a computer program (see the note below) to evaluate by simulation the error probabilit...

where X and Y are random returns. The main innovation introduced by Markowitz is to measure the risk of a portfolio via the joint (multivariate) distribution of returns of all assets. Multivariate distributions are characterized by the statistical (marginal) properties of all component random variables and by their dependence structure. Markowitz described the former by the first two moments of...

In this study, we first build two empirical cross-correlationmatrices in the US stockmarket by two different methods, namely the Pearson’s correlation coefficient and the detrended cross-correlation coefficient (DCCA coefficient). Then, combining the twomatriceswith the method of random matrix theory (RMT), we mainly investigate the statistical properties of cross-correlations in the US stock m...

In order to undertake controlled investigations into perceptual effects that relate to the interaural cross-correlation coefficient, experiment stimuli that meet a tight set of criteria are required. The requirements of each stimulus are that it is narrow band, normally has a constant cross-correlation coefficient over time, and can be altered to cover the full range of values of cross-correlat...

controlled multivariate or longitudinal study settings would be imperative. The agreement between the two methods was evaluated by correlating results from patient samples and control solutions of the two assays, and a Bland-Altman plot was constructed to visualize the differences (Fig. 1). Despite the fairly good correlation, the trend observed in the Bland–Altman plot together with the large ...

Rationale Frequently decision-making situations require modeling of relationships among business variables. For instance, the amount of sale of a product may be related to its advertising expenditures for marketing, the health of the economy as measured by the stock market performance, and the number of sales people etc? The regression analysis provides tools for modeling a "response" variable ...