This is the computer project "Random matrix thoery" for the course "Applied stochastic analysis" lectured by Prof. Tiejun Li.
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Updated
Jan 28, 2019 - Jupyter Notebook
This is the computer project "Random matrix thoery" for the course "Applied stochastic analysis" lectured by Prof. Tiejun Li.
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)
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