Exact multivariate amplitude distributions for non-stationary Gaussian or algebraic fluctuations of covariances or correlations (Q5876982): Difference between revisions

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scientific article; zbMATH DE number 7649080

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English	Exact multivariate amplitude distributions for non-stationary Gaussian or algebraic fluctuations of covariances or correlations	scientific article; zbMATH DE number 7649080

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instance of

scholarly article

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title

Exact multivariate amplitude distributions for non-stationary Gaussian or algebraic fluctuations of covariances or correlations (English)

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Journal of Physics A: Mathematical and Theoretical

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publication date

3 February 2023

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full work available at URL

https://arxiv.org/abs/2011.07570

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zbMATH Keywords

non-stationarity

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multivariate statistics

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algebraic heavy tails

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random matrix theory

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MaRDI profile type

MaRDI publication profile

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cites work

Fluctuations and correlations in an individual-based model of biological coevolution

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A possible classification of nonequilibrium steady states

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Asset Trees and Asset Graphs in Financial Markets

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Constructing analytically tractable ensembles of stochastic covariances with an application to financial data

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Compound gamma, Beta and F distributions

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Normal Variance-Mean Mixtures and z Distributions

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Superstatistics

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Superstatistical generalizations of Wishart–Laguerre ensembles of random matrices

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A new family of multivariate heavy-tailed distributions with variable marginal amounts of tailweight: application to robust clustering

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Q4681935

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RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS

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Q5361361

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Q5359672

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Q5359671

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Applying free random variables to random matrix analysis of financial data. Part I: The Gaussian case

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Q5763589

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Eigenvalue density of the doubly correlated Wishart model: exact results

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Heavy-tailed random matrices

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Matricvariate Generalizations of the Multivariate $t$ Distribution and the Inverted Multivariate $t$ Distribution

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Q4935984

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Classification With the Matrix-Variate-<i>t</i> Distribution

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Derivation of an eigenvalue probability density function relating to the Poincaré disk

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Negative moments of characteristic polynomials of random matrices: Ingham-Siegel integral as an alternative to Hubbard-Stratonovich transformation

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Q3084090

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Identifiers

DOI

10.1088/1751-8121/abe3c8

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5876982

@@ Property / cites work @@
+Fluctuations and correlations in an individual-based model of biological coevolution
+Normal rank
@@ Property / cites work @@
+A possible classification of nonequilibrium steady states
+Normal rank
@@ Property / cites work @@
+Asset Trees and Asset Graphs in Financial Markets
@@ Property / cites work: Asset Trees and Asset Graphs in Financial Markets / rank @@
+Normal rank
@@ Property / cites work @@
+Constructing analytically tractable ensembles of stochastic covariances with an application to financial data
+Normal rank
@@ Property / cites work @@
+Compound gamma, Beta and F distributions
@@ Property / cites work: Compound gamma, Beta and F distributions / rank @@
+Normal rank
@@ Property / cites work @@
+Normal Variance-Mean Mixtures and z Distributions
@@ Property / cites work: Normal Variance-Mean Mixtures and z Distributions / rank @@
+Normal rank
@@ Property / cites work @@
+Superstatistics
@@ Property / cites work: Superstatistics / rank @@
+Normal rank
@@ Property / cites work @@
+Superstatistical generalizations of Wishart–Laguerre ensembles of random matrices
+Normal rank
@@ Property / cites work @@
+A new family of multivariate heavy-tailed distributions with variable marginal amounts of tailweight: application to robust clustering
+Normal rank
@@ Property / cites work @@
+Q4681935
@@ Property / cites work: Q4681935 / rank @@
+Normal rank
@@ Property / cites work @@
+RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
@@ Property / cites work: RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS / rank @@
+Normal rank
@@ Property / cites work @@
+Q5361361
@@ Property / cites work: Q5361361 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5359672
@@ Property / cites work: Q5359672 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5359671
@@ Property / cites work: Q5359671 / rank @@
+Normal rank
@@ Property / cites work @@
+Applying free random variables to random matrix analysis of financial data. Part I: The Gaussian case
+Normal rank
@@ Property / cites work @@
+Q5763589
@@ Property / cites work: Q5763589 / rank @@
+Normal rank
@@ Property / cites work @@
+Eigenvalue density of the doubly correlated Wishart model: exact results
+Normal rank
@@ Property / cites work @@
+Heavy-tailed random matrices
@@ Property / cites work: Heavy-tailed random matrices / rank @@
+Normal rank
@@ Property / cites work @@
+Matricvariate Generalizations of the Multivariate $t$ Distribution and the Inverted Multivariate $t$ Distribution
+Normal rank
@@ Property / cites work @@
+Q4935984
@@ Property / cites work: Q4935984 / rank @@
+Normal rank
@@ Property / cites work @@
+Classification With the Matrix-Variate-<i>t</i> Distribution
+Normal rank
@@ Property / cites work @@
+Derivation of an eigenvalue probability density function relating to the Poincaré disk
+Normal rank
@@ Property / cites work @@
+The correlated Jacobi and the correlated Cauchy-Lorentz ensembles
+Normal rank
@@ Property / cites work @@
+Negative moments of characteristic polynomials of random matrices: Ingham-Siegel integral as an alternative to Hubbard-Stratonovich transformation
+Normal rank
@@ Property / cites work @@
+Q3084090
@@ Property / cites work: Q3084090 / rank @@
+Normal rank