Cleaning large correlation matrices: tools from random matrix theory (Q521794)
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scientific article; zbMATH DE number 6705177
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| English | Cleaning large correlation matrices: tools from random matrix theory |
scientific article; zbMATH DE number 6705177 |
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Cleaning large correlation matrices: tools from random matrix theory (English)
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12 April 2017
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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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0.8234221935272217
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0.8057190179824829
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0.7994218468666077
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0.7879440188407898
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0.7766954302787781
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