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