This is the computer project "Random matrix thoery" for the course "Applied stochastic analysis" lectured by Prof. Tiejun Li.
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Jan 28, 2019 - Jupyter Notebook
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random-matrix
Here are 6 public repositories matching this topic...
Python scripts from paper Optimal cleaning for singular values of cross-covariance matrices, by Florent Benaych-Georges, Jean-Philippe Bouchaud, Marc Potters (see https://arxiv.org/abs/1901.05543)
statistics probability high-dimensional-data cross-correlation probability-theory denoising probability-statistics random-matrix-theory random-matrix random-matrices cross-correlation-processing high-dimensional-statistics high-dimensional-probability rotationally-invariant-estimator
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Nov 15, 2021 - Python
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Feb 11, 2025 - HTML
Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization
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Jul 5, 2022 - Python
This repository provides a function for generating a random complex-valued Hermitian positive semi-definite matrix.
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Mar 1, 2025 - Python
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