我可以分解大规模的相关矩阵吗? [英] Can I break down a large-scale correlation matrix?

问题描述

相关矩阵太大(50000by50000)，以至于在计算我想要的内容时效率不高.我要做的是将其分解为几组，并将每组视为独立的相关矩阵.但是，如何处理这些较小的相关矩阵之间的依赖关系?我整天都在研究在线，但没有任何反应.应该有一些与大型相关矩阵的近似有关的算法，对吧?

the correlation matrix is so large (50000by50000) that it is not efficient in calculating what I want. What I want to do is to break it down to groups and treat each as separate correlation matrices. However, how do I deal with the dependence between those smaller correlation matrices? I have been researching online all day but nothing comes up. There should be some algorithm out there that is related to the approximation of large correlation matrices like this, right?

推荐答案

即使是4 x 4的相关矩阵也对错误敏感.无论如何，这里有一些链接可能会有所帮助:

Even a 4 x 4 correlation matrix is sensitive to errors. In any case, here are some links that might help:

http://www.oxford-man.ox. ac.uk/documents/papers/2011OMI08_Sheppard.pdf

http://www.kevinsheppard.com/images/4/47/Chapter8.pdf

http://arxiv.org/PS_cache/arxiv/pdf/1009/1009.5331v1.pdf

http://cran.r-project.org/web/packages/tawny/index.html

http://www.rinfinance.com/RinFinance2009/presentations/yollin_slides.pdf

http://nurometic.com/quantitative-finance/tawny/黄褐色的投资组合优化

http://quantivity.wordpress.com/2011/04/17/minimum-variance-portfolios/

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