Cleaning large correlation matrices: Tools from Random Matrix Theory
Work
Year: 2016
Type: article
Abstract: This review covers recent results concerning the estimation of large covariance matrices using tools from Random Matrix Theory (RMT). We introduce several RMT methods and analytical techniques, such a... more
Source: Physics Reports
Institutions Laboratoire de Physique Théorique et Modèles Statistiques, Capital Fund Management (France)
Cites: 232
Cited by: 266
Related to: 10
FWCI: 14.42
Citation percentile (by year/subfield): 99.98
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: hybrid
APC paid (est): $5,520