Try to give a look to Risk Magazine of March 1999. There is a very good
article From Stefano Galluccio et al, on random matrices.
you can also have a look to this:
http://www.science-finance.fr/pub_matrix.html
which is about random matrices in finance.
Hope it can be of any help.
Sincerely yours
Gabriele
-----Original Message-----
From: [log in to unmask] [mailto:[log in to unmask]]
Sent: 12 April 1999 12:56
To: [log in to unmask]
Subject:
Any ideas on this - a friend of mine wanted to know this.
A transition probability matrix gives us the probabilities with which one
income state has the possibility of transferring to another state.
In the light of understanding transitional intra-distributional dynamics of
, say, income levels across regions, such a matrix ( or a stochastic kernel)
gives us the probabilities with which regional incomes transfer from one
state to another- hence, if the diagonals have high probability values, that
is an indication of little intra-distributional mobility over time. Thus
regional distribution of incomes have not changed over time.
How would it be possible for us to determine the following : what determines
why state A after a certain period moves into state B? How could we find
out what determines the probabilities One method which is used is that of
conditioning- seeing whether E(y) and E(y/x) are different (i.e. the
distributions)- if so, we can say that factor x has been instrumental in
transforming the distribution of y (over time period ,say s) Thus one can
find that different factors, such as investment etc. have been instrumental
in determining the intra-distributional dynamics. This is the method
traditionally used in regression analysis as well. Is there any other way of
determining what determines why state A moves into state B over time period
t to t+s?
Regards,
Sankarshan Basu.
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