Localized short-range correlations in the spectrum of the equal-time correlation matrix.
We suggest a procedure to identify those parts of the spectrum of the equal-time correlation matrix C where relevant information about correlations of a multivariate time series is induced. Using an ensemble average over each of the distances between eigenvalues, all nearest-neighbor distributions can be calculated individually. We present numerical examples, where (a) information about cross correlations is found in the so-called "bulk" of eigenvalues (which generally is thought to contain only random correlations) and where (b) the information extracted from the lower edge of the spectrum of C is statistically more significant than that extracted from the upper edge. We apply the analysis to electroencephalographic recordings with epileptic events.
Müller
Markus
M
Facultad de Ciencias, Universidad Autónoma del Estado de Morelos, 62209 Cuernavaca, Morelos, México. muellerm@buzon.uaem.mx
Jiménez
Yurytzy López
YL
Rummel
Christian
C
Baier
Gerold
G
Galka
Andreas
A
Stephani
Ulrich
U
Muhle
Hiltrud
H