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)
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Updated
Nov 15, 2021 - Python
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)
This is the computer project "Random matrix thoery" for the course "Applied stochastic analysis" lectured by Prof. Tiejun Li.
A Python package for numerical work with random matrix ensembles, with a particular focus on the Gaussian, Circular, and Laguerre beta ensembles. The package implements spectrum generation for general Dyson index beta.
This repository provides a function for generating a random complex-valued Hermitian positive semi-definite matrix.
Computational art that visualizes weather through eigenvalue analysis.
Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization
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