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)
statisticsprobabilityhigh-dimensional-datacross-correlationprobability-theorydenoisingprobability-statisticsrandom-matrix-theoryrandom-matrixrandom-matricescross-correlation-processinghigh-dimensional-statisticshigh-dimensional-probabilityrotationally-invariant-estimator
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Updated
Nov 15, 2021 - Python