Exact multivariate amplitude distributions for non-stationary Gaussian or algebraic fluctuations of covariances or correlations
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Cited in
(4)- Constructing analytically tractable ensembles of stochastic covariances with an application to financial data
- Exact Multivariate Amplitude Distributions for Non-Stationary Gaussian or Algebraic Fluctuations of Covariances or Correlations
- Multivariate distributions in non-stationary complex systems. I: A random matrix model and formulae for data analysis
- Multivariate distributions in non-stationary complex systems. II: Empirical results for correlated stock markets
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