GitHub / CFMTech / Optimal_cleaning_for_singular_values_of_cross-covariance_matrices
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)
Stars: 2
Forks: 4
Open issues: 0
License: None
Language: Python
Size: 43 KB
Dependencies parsed at: Pending
Created at: over 3 years ago
Updated at: 6 months ago
Pushed at: over 3 years ago
Last synced at: about 1 month ago
Topics: cross-correlation, cross-correlation-processing, denoising, high-dimensional-data, high-dimensional-probability, high-dimensional-statistics, probability, probability-statistics, probability-theory, random-matrices, random-matrix, random-matrix-theory, rotationally-invariant-estimator, statistics