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1306.5510
Cited By

Compound Wishart Matrices and Noisy Covariance Matrices: Risk
Underestimation

Compound Wishart Matrices and Noisy Covariance Matrices: Risk Underestimation

24 June 2013

ArXiv (abs)PDF HTML

Papers citing "Compound Wishart Matrices and Noisy Covariance Matrices: Risk Underestimation"

5 / 5 papers shown

Exact first moments of the RV coefficient by invariant orthogonal
integration

Exact first moments of the RV coefficient by invariant orthogonal integrationJournal of Multivariate Analysis (J. Multivar. Anal.), 2022

163

4

0

02 Oct 2022

Covariance Matrix Estimation from Correlated Sub-Gaussian Samples

Covariance Matrix Estimation from Correlated Sub-Gaussian Samples

89

2

0

16 Oct 2019

Cauchy noise loss for stochastic optimization of random matrix models
via free deterministic equivalents

Cauchy noise loss for stochastic optimization of random matrix models via free deterministic equivalents

Tomohiro Hayase

181

1

0

09 Apr 2018

Free deterministic equivalent Z-scores of compound Wishart models: A
goodness of fit test of 2DARMA models

Free deterministic equivalent Z-scores of compound Wishart models: A goodness of fit test of 2DARMA modelsRandom Matrices. Theory and Applications (RMTA), 2017

Tomohiro Hayase

84

1

0

25 Oct 2017

Cleaning large correlation matrices: tools from random matrix theory

Cleaning large correlation matrices: tools from random matrix theory

309

293

0

25 Oct 2016

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