Treffer: A first course in random matrix theory
Titel:
A first course in random matrix theory : for physicists, engineers and data scientists / Marc Potters, Jean-Philippe Bouchaud
Veröffentlicht:
Cambridge : Cambridge University Press, 2021
Vertrieb:
Cambridge, UK : Cambridge University Press
Umfang:
1 Online-Ressource
Format:
Sprache:
Englisch
Andere Ausgaben:
Erscheint auch als Druck-Ausgabe: ISBN 9781108488082
Anmerkungen:
Title from publisher's bibliographic system (viewed on 12 Nov 2020)
aDetermine matrices -- Wigner ensemble and semi-circle law -- More on Gaussian matrices -- Wishart ensemble and Marcenko-Pastur distribution -- Joint distribution of eigenvalues -- Eigenvalues and Orthogonal polynomials -- The Jacobi ensemble -- Addition of random variables & Brownian motion -- Dyson Brownian motion -- Addition of large random matrices -- Free probabilities -- Free random matrices -- The replica method -- Edge eigenvalues and outliers -- Addition and multiplication : recipes and examples -- Products of many random matrices -- Sample covariance matrices -- Bayesian estimation -- Eigenvector overlaps and rotationally invariant estimators -- Applications to finance.
aDetermine matrices -- Wigner ensemble and semi-circle law -- More on Gaussian matrices -- Wishart ensemble and Marcenko-Pastur distribution -- Joint distribution of eigenvalues -- Eigenvalues and Orthogonal polynomials -- The Jacobi ensemble -- Addition of random variables & Brownian motion -- Dyson Brownian motion -- Addition of large random matrices -- Free probabilities -- Free random matrices -- The replica method -- Edge eigenvalues and outliers -- Addition and multiplication : recipes and examples -- Products of many random matrices -- Sample covariance matrices -- Bayesian estimation -- Eigenvector overlaps and rotationally invariant estimators -- Applications to finance.
ISBN:
9781108768900 ; 9781108488082 (Sekundärausgabe)
DOI:
10.1017/9781108768900