Cleaning large correlation matrices: tools from random matrix theory (Q521794): Difference between revisions

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English	Cleaning large correlation matrices: tools from random matrix theory	scientific article

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scholarly article

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Cleaning large correlation matrices: tools from random matrix theory (English)

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Jean-Philippe Bouchaud

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Physics Reports

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publication date

12 April 2017

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full work available at URL

https://arxiv.org/abs/1610.08104

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zbMATH Keywords

random matrix theory

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high dimensional statistics

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correlation matrix

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spectral decomposition

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rotational invariant estimator

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describes a project that uses

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MaRDI profile type

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Asymptotic Statistics

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Large Sample Properties of Generalized Method of Moments Estimators

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The elements of statistical learning. Data mining, inference, and prediction

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On the feasibility of portfolio optimization under expected shortfall

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High‐Dimensional Covariance Estimation

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Multivariate empirical Bayes and estimation of covariance matrices

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Minimax estimators for a multinormal precision matrix

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Empirical Bayes estimation of the multivariate normal covariance matrix

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A well-conditioned estimator for large-dimensional covariance matrices

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Asymptotic Theory for Principal Component Analysis

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Limiting spectral distribution for a class of random matrices

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Strong convergence of the empirical distribution of eigenvalues of large dimensional random matrices

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Theory of Financial Risk and Derivative Pricing

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On the distribution of the largest eigenvalue in principal components analysis

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Level-spacing distributions and the Airy kernel

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RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS

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Analysis of the limiting spectral distribution of large dimensional random matrices

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Improved Estimation of Eigenvalues and Eigenvectors of Covariance Matrices Using Their Sample Estimates

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Eigenvalue Estimation of Parameterized Covariance Matrices of Large Dimensional Data

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Spectrum estimation for large dimensional covariance matrices using random matrix theory

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On the eigenvectors of large dimensional sample covariance matrices

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Eigenvectors of some large sample covariance matrix ensembles

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Rotational Invariant Estimator for General Noisy Matrices

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The eigenvalues and eigenvectors of finite, low rank perturbations of large random matrices

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Planar diagrams

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Limit laws for random matrices and free products

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The eigenvalue spectrum of a large symmetric random matrix

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Large Deviations of Extreme Eigenvalues of Random Matrices

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An Introduction to Random Matrices

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Random Matrix Theory and Wireless Communications

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Random Matrix Methods for Wireless Communications

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RELATIONS BETWEEN TWO SETS OF VARIATES

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The limiting empirical measure of multiple discriminant ratios

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Large dimension forecasting models and random singular value spectra

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Random matrices: universality of local eigenvalue statistics

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Around the circular law

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Free Random Variables

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Free Probability Theory

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Law of addition in random matrix theory

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Invariant β-Wishart ensembles, crossover densities and asymptotic corrections to the Marčenko–Pastur law

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The spectrum of heavy tailed random matrices

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Level Statistics and Localization Transitions of Lévy Matrices

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Convergence rate of expected spectral distributions of large random matrices. I: Wigner matrices

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Convergence Rates of Spectral Distributions of Large Sample Covariance Matrices

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Some Applications of Matrix Derivatives in Multivariate Analysis

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An identity for the Wishart distribution with applications

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Multiplicative functions on the lattice of non-crossing partitions and free convolution

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Differential Operators on a Semisimple Lie Algebra

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The planar approximation. II

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The Parisi formula

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Subordination for the sum of two random matrices

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Random matrix theory in statistics: a review

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Large Sample Covariance Matrices and High-Dimensional Data Analysis

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Large deviations of the maximum eigenvalue in Wishart random matrices

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Finite N corrections to the limiting distribution of the smallest eigenvalue of Wishart complex matrices

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On the principal components of sample covariance matrices

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Robust Statistics

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Concentration of measure and spectra of random matrices: applications to correlation matrices, elliptical distributions and beyond

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The random matrix regime of Maronna's M-estimator with elliptically distributed samples

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A distribution-free M-estimator of multivariate scatter

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Second order statistics of robust estimators of scatter. Application to GLRT detection for elliptical signals

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On the empirical distribution of eigenvalues of a class of large dimensional random matrices

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Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions

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Efficient computation of limit spectra of sample covariance matrices

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On the top eigenvalue of heavy-tailed random matrices

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Top eigenvalue of a random matrix: large deviations and third order phase transition

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A simple derivation of the Tracy–Widom distribution of the maximal eigenvalue of a Gaussian unitary random matrix

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Beta ensembles, stochastic Airy spectrum, and a diffusion

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Shape fluctuations and random matrices

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Phase transition of the largest eigenvalue for nonnull complex sample covariance matrices

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Universality results for the largest eigenvalues of some sample covariance matrix ensembles

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A Survey on the Eigenvalues Local Behavior of Large Complex Correlated Wishart Matrices

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Eigenvector dynamics under free addition

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Inequalities between the Two Kinds of Eigenvalues of a Linear Transformation

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An orthogonally invariant minimax estimator of the covariance matrix of a multivariate normal population

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Ridge regression and asymptotic minimax estimation over spheres of growing dimension

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Noisy covariance matrices and portfolio optimization. II

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High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: risk underestimation

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On the Realized Risk of High-Dimensional Markowitz Portfolios

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Dissecting financial markets: sectors and states

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Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets

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No eigenvalues outside the support of the limiting empirical spectral distribution of a separable covariance matrix

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An Intertemporal Capital Asset Pricing Model

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Common risk factors in the returns on stocks and bonds

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A nested factor model for non-linear dependencies in stock returns

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Multivariate analysis and Jacobi ensembles: largest eigenvalue, Tracy-Widom limits and rates of convergence

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Independence test for high dimensional data based on regularized canonical correlation coefficients

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The singular value decomposition: Its computation and some applications

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The singular values and vectors of low rank perturbations of large rectangular random matrices

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Hidden noise structure and random matrix models of stock correlations

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Wishart processes

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On the large-\(N\) limit of the Itzykson-Zuber integral.

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A Fourier view on the \(R\)-transform and related asymptotics of spherical integrals

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The large-<i>N</i>limit of matrix integrals over the orthogonal group

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Large deviations asymptotics for spherical integrals

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Asymptotics of unitary and orthogonal matrix integrals

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Replica field theory for deterministic models. II. A non-random spin glass with glassy behaviour

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Universality of Wigner random matrices: a survey of recent results

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A Brownian-Motion Model for the Eigenvalues of a Random Matrix

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1016/J.PHYSREP.2016.10.005

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Sitelinks

Mathematics(1 entry)

mardi Publication:521794

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