Related papers: Eigenvalue Distribution of Empirical Correlation M…
In this paper we study an ensemble of random matrices called Elliptic Volatility Model, which arises in finance as models of stock returns. This model consists of a product of independent matrices $X = \Sigma Z $ where $Z$ is a $T$ by $S$…
Traditional theories of the NMR autocorrelation function for intramolecular dipole pairs assume single-exponential decay, yet the calculated autocorrelation of realistic systems display a rich, multi-exponential behavior resulting in…
Computing eigenvalues of very large matrices is a critical task in many machine learning applications, including the evaluation of log-determinants, the trace of matrix functions, and other important metrics. As datasets continue to grow in…
Random matrix theory allows for the deduction of stability criteria for complex systems using only a summary knowledge of the statistics of the interactions between components. As such, results like the well-known elliptical law are…
The parametric variation of the eigenfrequencies of a chaotic plate is measured and compared to random matrix theory using recently calculated universal correlation functions. The sensitivity of the flexural modes of the plate to pressure…
Signatures of universality are detected by comparing individual eigenvalue distributions and level spacings from financial covariance matrices to random matrix predictions. A chopping procedure is devised in order to produce a statistical…
We focus on a multidimensional field with uncorrelated spectrum, and study the quality of the reconstructed signal when the field samples are irregularly spaced and affected by independent and identically distributed noise. More…
We consider the complex eigenvalues of a Wishart type random matrix model $X=X_1 X_2^*$, where two rectangular complex Ginibre matrices $X_{1,2}$ of size $N\times (N+\nu)$ are correlated through a non-Hermiticity parameter $\tau\in[0,1]$.…
Scattering of electromagnetic waves in billiard-like systems has become a standard experimental tool of studying properties associated with Quantum Chaos. Random Matrix Theory (RMT) describing statistics of eigenfrequencies and associated…
We consider settings where the observations are drawn from a zero-mean multivariate (real or complex) normal distribution with the population covariance matrix having eigenvalues of arbitrary multiplicity. We assume that the eigenvectors of…
Results on the spectral behavior of random matrices as the dimension increases are applied to the problem of detecting the number of sources impinging on an array of sensors. A common strategy to solve this problem is to estimate the…
We calculate the probability to find exactly $n$ eigenvalues in a spectral interval of a large random $N \times N$ matrix when this interval contains $s \ll N$ eigenvalues on average. The calculations exploit an analogy to the problem of…
The Singular Value Decomposition is a matrix decomposition technique widely used in the analysis of multivariate data, such as complex space-time images obtained in both physical and biological systems. In this paper, we examine the…
We consider the empirical eigenvalue distribution of an $m\times m$ principal submatrix of an $n\times n$ random unitary matrix distributed according to Haar measure. For $n$ and $m$ large with $\frac{m}{n}=\alpha$, the empirical spectral…
We develop a systematic matrix-analytic approach, based on intertwinings of Markov semigroups, for proving theorems about hitting-time distributions for finite-state Markov chains -- an approach that (sometimes) deepens understanding of the…
This study evaluates the scale-dependent informational efficiency of stock markets using the Financial Chaos Index, a tensor-eigenvalue-based measure of realized volatility. Incorporating Granger causality and network-theoretic analysis…
The comovement phenomenon in financial markets creates decision scenarios with positively correlated asset returns. This paper addresses covariance matrix estimation under such conditions, motivated by observations of significant positive…
Rough volatility is a well-established statistical stylised fact of financial assets. This property has lead to the design and analysis of various new rough stochastic volatility models. However, most of these developments have been carried…
We consider a $p$-dimensional time series where the dimension $p$ increases with the sample size $n$. The resulting data matrix $X$ follows a stochastic volatility model: each entry consists of a positive random volatility term multiplied…
The correlated Wishart model provides a standard tool for the analysis of correlations in a rich variety of systems. Although much is known for complex correlation matrices, the empirically much more important real case still poses…