Cleaning large correlation matrices: Tools from Random Matrix Theory

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 as the Replica formalism and Free Probability, with an emphasis on the Marčenko–Pastur equation that...

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Bibliographic Details
Published in:	Physics reports Vol. 666; pp. 1 - 109
Main Authors:	Bun, Joël, Bouchaud, Jean-Philippe, Potters, Marc
Format:	Journal Article
Language:	English
Published:	Elsevier B.V 13.01.2017 Elsevier
Subjects:	Condensed Matter Correlation matrix High dimensional statistics Physics Quantitative Finance Random Matrix Theory Rotational invariant estimator Spectral decomposition Statistical Finance Statistical Mechanics Statistics Statistics Theory High dimensional statistics Rotational invariant estimator Spectral decomposition Correlation matrix Random Matrix Theory
ISSN:	0370-1573, 1873-6270
Online Access:	Get full text
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