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: about 1 month 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 (about 3 years ago)
• Default Branch: main
• Last Pushed: 2021-11-15T10:43:04.000Z (about 3 years ago)
• Last Synced: 2024-11-05T13:15:54.809Z (3 months 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: 1
• Watchers: 3
• Forks: 4
• Open Issues: 0
• Metadata Files:
  • Readme: README.md

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# 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