Python scripts from paper Optimal cleaning for singular values of cross-covariance matrices, by Florent Benaych-Georges, Jean-Philippe Bouchaud, Marc Potters (see https://arxiv.org/abs/1901.05543)
statistics
probability
high-dimensional-data
cross-correlation
probability-theory
denoising
probability-statistics
random-matrix-theory
random-matrix
random-matrices
cross-correlation-processing
high-dimensional-statistics
high-dimensional-probability
rotationally-invariant-estimator
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Updated
Nov 15, 2021 - Python