The following pages link to (Q5359671):
Displaying 10 items.
- Cleaning large correlation matrices: tools from random matrix theory (Q521794) (← links)
- High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: risk underestimation (Q620558) (← links)
- Asymptotic form of the Kullback-Leibler divergence for multivariate asymmetric heavy-tailed distributions (Q1782548) (← links)
- Amalgamated free Lévy processes as limits of sample covariance matrices (Q2099993) (← links)
- Constructing analytically tractable ensembles of stochastic covariances with an application to financial data (Q3302163) (← links)
- Emergence of statistically validated financial intraday lead-lag relationships (Q4619502) (← links)
- Random matrix models for datasets with fixed time horizons (Q4991056) (← links)
- A memory-based method to select the number of relevant components in principal component analysis (Q5131521) (← links)
- Exact multivariate amplitude distributions for non-stationary Gaussian or algebraic fluctuations of covariances or correlations (Q5876982) (← links)
- Matrix moments in a real, doubly correlated algebraic generalization of the Wishart model (Q5876985) (← links)
