Covariance Matrix AntiDiagonal
What does the AntiDiagonal look like?
Caracteristics of the data: see MC Diagonal
date:04/06/09
With 7600 MC simulations.
CONCLUSION:
Nothing more to say.
histo-AntiDiag-1yr | |
date:27/05/09
With 2000 MC simulations.
CONCLUSION:
- The AntiDiagonal is dominated by the Noise (see plot 'Log(ABS(AntiDiag))' )
- So, the data are averaged with an histogram around the antidiagonal. It makes the noise decreasing and one can see the structure of the 1-year-delayed and 6-month-delayed subdiagonal.
AntiDiagonal | |
Log(ABS(AntiDiag)) | |
histo-AntiDiag | |
histo-AntiDiag-1yr | |
histo-AntiDiag-1/2yr | |