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