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Asymmetric random matrices: What do we need them for?
Asymmetric random matrices standard correlation matrices Complex systems
2011/7/4
Complex systems are typically represented by large ensembles of observations.
Correlation matrices provide an efficient formal framework
to extract information from such multivariate ensembles and i...
A non-Hermitean extension of paradigmatic Wishart random matrices is introduced to set up a theoretical framework for statistical analysis of (real, complex and real quaternion) stochastic time serie...
Toy Model for Large Non-Symmetric Random Matrices
Singular Values Rectangular RandomMatrices Free Random Matrix Theory
2010/10/20
Non-symmetric rectangular correlation matrices occur in many problems in economics. We test the method of extracting statistically meaningful correlations between input and output variables of large ...
Spectral densities of Wishart-Levy free stable random matrices: Analytical results and Monte Carlo validation
Spectral densities Analytical results Monte Carlo validation
2010/10/29
Random matrix theory is used to assess the significance of weak correlations and is well established for Gaussian statistics. However, many complex systems, with stock markets as a prominent example, ...