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

zbMATH Keywords

random matrix theorynon-stationaritymultivariate statisticsalgebraic heavy tails

Mathematics Subject Classification ID

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

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Cited in

(2)

• Exact Multivariate Amplitude Distributions for Non-Stationary Gaussian or Algebraic Fluctuations of Covariances or Correlations
• Constructing analytically tractable ensembles of stochastic covariances with an application to financial data

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