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high-dimensional-probability

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CFMTech / Optimal_cleaning_for_singular_values_of_cross-covariance_matrices

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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
  • Updated Nov 15, 2021
  • Python

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