Filtering time-dependent covariance matrices using time-independent eigenvalues

DOI10.1088/1742-5468/acb7edOpenAlexW4321613288MaRDI QIDQ5880290

Grégoire Loeper, C. Bongiorno, Damien Challet

Publication date: 7 March 2023

Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1742-5468/acb7ed

zbMATH Keywords

random matrix theoryaverage oraclecovariance matrix filteringnon-linear shrinkage

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

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• Nonlinear shrinkage estimation of large-dimensional covariance matrices
• Cleaning large correlation matrices: tools from random matrix theory
• Hierarchically nested factor model from multivariate data
• Rotational Invariant Estimator for General Noisy Matrices