Related papers: Bootstraps Regularize Singular Correlation Matrice…
A new approach to solving random matrix models directly in the large $N$ limit is developed. First, a set of numerical values for some low-pt correlation functions is guessed. The large $N$ loop equations are then used to generate values of…
We study simplified bootstrap problems for probability distributions on the infinite line and the circle. We show that the rapid convergence of the bootstrap method for problems on the infinite line is related to the fact that the smallest…
Clinical prediction models are increasingly used to support patient care, yet many deep learning-based approaches remain unstable, as their predictions can vary substantially when trained on different samples from the same population. Such…
Correlation matrices are the sub-class of positive definite real matrices with all entries on the diagonal equal to unity. Earlier work has exhibited a parametrisation of the corresponding Cholesky factorisation in terms of partial…
Determining the number of common factors is an important and practical topic in high dimensional factor models. The existing literatures are mainly based on the eigenvalues of the covariance matrix. Due to the incomparability of the…
We establish finite-step probabilistic upper bounds on the contraction ratios $\rho_k = \Delta_{k+1}/\Delta_k$ for iterated Pearson correlation dynamics. Let $(P_k)_{k\ge 0}$ be the sequence generated by the Pearson update. Define $\Delta_k…
A $k$-uniform, $d$-regular instance of Exact Cover is a family of $m$ sets $F_{n,d,k} = \{ S_j \subseteq \{1,...,n\} \}$, where each subset has size $k$ and each $1 \le i \le n$ is contained in $d$ of the $S_j$. It is satisfiable if there…
We propose the relaxation bootstrap method for the numerical solution of multi-matrix models in the large $N$ limit, developing and improving the recent proposal of H.Lin. It gives rigorous inequalities on the single trace moments of the…
Chatterjee's rank correlation coefficient $\xi_n$ is an empirical index for detecting functional dependencies between two variables $X$ and $Y$. It is an estimator for a theoretical quantity $\xi$ that is zero for independence and one if…
Detecting the components common or correlated across multiple data sets is challenging due to a large number of possible correlation structures among the components. Even more challenging is to determine the precise structure of these…
This work proposes a bootstrapping with positivity methodology to study random $U(N)^{D}$ invariant tensors in the large $N$ limit. As has been done for $U(N)$ invariant random matrices, we combine the Dyson-Schwinger equations and…
We study multiscalar theories with $\text{O}(N) \times \text{O}(2)$ symmetry. These models have a stable fixed point in $d$ dimensions if $N$ is greater than some critical value $N_c(d)$. Previous estimates of this critical value from…
We prove that an $m$ out of $n$ bootstrap procedure for Chatterjee's rank correlation is consistent whenever asymptotic normality of Chatterjee's rank correlation can be established. In particular, we prove that $m$ out of $n$ bootstrap…
Standard thresholding techniques for correlation matrices often destroy positive semidefiniteness. We investigate the construction of positive definite functions that vanish on specific sets $K \subseteq [-1,1)$, ensuring that the…
In many scientific tasks we are interested in discovering whether there exist any correlations in our data. This raises many questions, such as how to reliably and interpretably measure correlation between a multivariate set of attributes,…
This paper develops a large-scale inference approach for the regularization of stock return covariance matrices. The framework allows for the presence of heavy tails and multivariate GARCH-type effects of unknown form among the stock…
Statistical inference of the dependence between objects often relies on covariance matrices. Unless the number of features (e.g. data points) is much larger than the number of objects, covariance matrix cleaning is necessary to reduce…
Exploiting the explicit bijection between the density of singular values and the density of eigenvalues for bi-unitarily invariant complex random matrix ensembles of finite matrix size, we aim at finding the induced probability measure on…
We obtain general, exact formulas for the overlaps between the eigenvectors of large correlated random matrices, with additive or multiplicative noise. These results have potential applications in many different contexts, from quantum…
Bootstrapping can produce confidence levels for hypotheses about quadratic regression models - such as whether the U-shape is inverted, and the location of optima. The method has several advantages over conventional methods: it provides…