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Random matrix approach in search for weak signals immersed in background noise
Random matrix approach search signals immersed background noise
2011/10/17
We present new, original and alternative method for searching signals coded in noisy data. The method is based on the properties of random matrix eigenvalue spectra. First, we describe general ideas a...
Random matrix approach in search for weak signals immersed in background noise
Random matrix weak signals immerse background noise
2011/8/4
Abstract: We present new, original and alternative method for searching signals coded in noisy data. The method is based on the properties of random matrix eigenvalue spectra. First, we describe gener...
A Random Matrix Approach to VARMA Processes
VARMA random matrix theory free random variables Wishart ensemble covariance matrix historical estimation
2010/4/27
We apply random matrix theory to derive spectral density of large sample covariance matrices generated by multivariate VMA(q), VAR(q) and VARMA(q1,q2) processes. In particular, we consider a limit whe...