Eigenvalue and Eigenvector Statistics in Time Series Analysis

Abstract

The study of correlated time-series is ubiquitous in statistical analysis, and the matrix decomposition of the cross-correlations between time series is a universal tool to extract the principal patterns of behavior in a wide range of complex systems. Despite this fact, no general result is known for the statistics of eigenvectors of the cross-correlations of correlated time-series. Here we use supersymmetric theory to provide novel analytical results that will serve as a benchmark for the study of correlated signals for a vast community of researchers.