https://github.com/cfmtech/optimal_cleaning_for_singular_values_of_cross-covariance_matrices
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)
https://github.com/cfmtech/optimal_cleaning_for_singular_values_of_cross-covariance_matrices
cross-correlation cross-correlation-processing denoising high-dimensional-data high-dimensional-probability high-dimensional-statistics probability probability-statistics probability-theory random-matrices random-matrix random-matrix-theory rotationally-invariant-estimator statistics
Last synced: 22 days ago
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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)
- Host: GitHub
- URL: https://github.com/cfmtech/optimal_cleaning_for_singular_values_of_cross-covariance_matrices
- Owner: CFMTech
- Created: 2021-11-12T15:40:06.000Z (over 3 years ago)
- Default Branch: main
- Last Pushed: 2021-11-15T10:43:04.000Z (over 3 years ago)
- Last Synced: 2025-04-12T06:51:55.123Z (22 days ago)
- Topics: cross-correlation, cross-correlation-processing, denoising, high-dimensional-data, high-dimensional-probability, high-dimensional-statistics, probability, probability-statistics, probability-theory, random-matrices, random-matrix, random-matrix-theory, rotationally-invariant-estimator, statistics
- Language: Python
- Homepage:
- Size: 43 KB
- Stars: 2
- Watchers: 3
- Forks: 4
- Open Issues: 0
-
Metadata Files:
- Readme: README.md
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README
# Optimal_cleaning_for_singular_values_of_cross-covariance_matrices
These are the python scripts that allow to generate the numerical simulations 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)
base_functions.py is imported in all scripts: in their current form, the imports work if base_functions.py is in the same directory as the scripts where it is imported