我可以分解大规模的相关矩阵吗？
相关矩阵太大（50000×50000），以至于计算我想要的东西效率不高。我想做的是将其分解为组并将每个组视为单独的相关矩阵。但是，如何处理这些较小的相关矩阵之间的依赖性？我一整天都在网上研究，但没有任何结果。应该有一些算法与像这样的大相关矩阵的近似相关，对吧？
the correlation matrix is so large (50000by50000) that it is not efficient in calculating what I want. What I want to do is to break it down to groups and treat each as separate correlation matrices. However, how do I deal with the dependence between those smaller correlation matrices? I have been researching online all day but nothing comes up. There should be some algorithm out there that is related to the approximation of large correlation matrices like this, right?
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即使 4 x 4 相关矩阵也对错误很敏感。无论如何，这里有一些可能有帮助的链接：
http:// /www.oxford-man.ox.ac.uk/documents/papers/2011OMI08_Sheppard.pdf
http://www.kevinsheppard.com/images/4/47/Chapter8.pdf
http://arxiv.org/PS_cache/arxiv/pdf/1009/1009.5331v1.pdf
http://cran.r-project.org/web/packages/tawny/index.html
http://www.rinfinance.com/RinFinance2009/presentations/yollin_slides.pdf
http://nurometic.com/quantitative-finance/tawny/portfolio-optimization-with-tawny
http://quantivity.wordpress.com/2011/04/17/minimum-variance-portfolios/
Even a 4 x 4 correlation matrix is sensitive to errors. In any case, here are some links that might help:
http://www.oxford-man.ox.ac.uk/documents/papers/2011OMI08_Sheppard.pdf
http://www.kevinsheppard.com/images/4/47/Chapter8.pdf
http://arxiv.org/PS_cache/arxiv/pdf/1009/1009.5331v1.pdf
http://cran.r-project.org/web/packages/tawny/index.html
http://www.rinfinance.com/RinFinance2009/presentations/yollin_slides.pdf
http://nurometic.com/quantitative-finance/tawny/portfolio-optimization-with-tawny
http://quantivity.wordpress.com/2011/04/17/minimum-variance-portfolios/