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

DOI10.1088/1751-8121/ABE3C8OpenAlexW3128481456MaRDI QIDQ5876982FDOQ5876982

Authors: Thomas Guhr 

Publication date: 3 February 2023

Published in: Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2011.07570

Recommendations

• Constructing analytically tractable ensembles of stochastic covariances with an application to financial data
• Statistical inference of multivariate distribution parameters for non-Gaussian distributed time series
• Non-stationarity in financial markets: dynamics of market states versus generic features
• A family of multivariate non‐gaussian time series models
• Non-Hermitean Wishart random matrices (I)

zbMATH Keywords

random matrix theorynon-stationaritymultivariate statisticsalgebraic heavy tails

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX) Quantum theory (81-XX)

Cites Work

• Table of integrals, series, and products. Translated from the Russian. Translation edited and with a preface by Alan Jeffrey and Daniel Zwillinger. With one CD-ROM (Windows, Macintosh and UNIX)
• Normal Variance-Mean Mixtures and z Distributions
• Title not available (Why is that?)
• A new family of multivariate heavy-tailed distributions with variable marginal amounts of tailweight: application to robust clustering
• Title not available (Why is that?)
• Derivation of an eigenvalue probability density function relating to the Poincaré disk
• The correlated Jacobi and the correlated Cauchy-Lorentz ensembles
• Title not available (Why is that?)
• Eigenvalue density of the doubly correlated Wishart model: exact results
• Matricvariate Generalizations of the Multivariate $t$ Distribution and the Inverted Multivariate $t$ Distribution
• A possible classification of nonequilibrium steady states
• Superstatistics
• Fluctuations and correlations in an individual-based model of biological coevolution
• Negative moments of characteristic polynomials of random matrices: Ingham-Siegel integral as an alternative to Hubbard-Stratonovich transformation
• RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
• Asset Trees and Asset Graphs in Financial Markets
• Superstatistical generalizations of Wishart–Laguerre ensembles of random matrices
• The Student ensemble of correlation matrices: eigenvalue spectrum and Kullback-Leibler entropy
• Compound gamma, Beta and F distributions
• Applying free random variables to random matrix analysis of financial data. Part I: The Gaussian case
• Classification With the Matrix-Variate-t Distribution
• Title not available (Why is that?)
• Financial applications of random matrix theory: old laces and new pieces
• Heavy-tailed random matrices
• Constructing analytically tractable ensembles of stochastic covariances with an application to financial data

This page was built for publication: Exact multivariate amplitude distributions for non-stationary Gaussian or algebraic fluctuations of covariances or correlations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5876982)