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CLT for linear spectral statistics of random matrix $S^{-1}T$
CLT linear spectral statistics random matrix $S^{-1}T$
2013/6/13
This paper proposes a CLT for linear spectral statistics of random matrix $S^{-1}T$ for a general non-negative definite and {\bf non-random} Hermitian matrix $T$.
Random matrix approach to the dynamics of stock inventory variations
Random matrix approach dynamics stock inventory variations
2012/3/2
We study the cross-correlation matrix $C_{ij}$ of inventory variations of the most active individual and institutional investors in an emerging market to understand the dynamics of inventory variation...
Large information plus noise random matrix models and consistent subspace estimation in large sensor networks
Large information plus noise random matrix models consistent subspace estimation large sensor networks
2011/7/7
In array processing, a common problem is to estimate the angles of arrival of $K$ deterministic sources impinging on an array of $M$ antennas, from $N$ observations of the source signal, corrupted by ...
Geometric sensitivity of random matrix results: consequences for shrinkage estimators of covariance and related statistical methods
random matrix related statistical shrinkage estimators
2011/6/16
Shrinkage estimators of covariance are an important tool in modern applied and theoretical statistics.
They play a key role in regularized estimation problems, such as ridge regression (aka Tykhonov
...
A Random Matrix--Theoretic Approach to Handling Singular Covariance Estimates
Random Matrix--Theoretic Approach Handling Singular Covariance Estimates
2010/10/19
In many practical situations we would like to estimate the covariance matrix of a set of variables from an insufficient amount of data. More specifically, if we have a set of $N$ independent, identica...