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Results tagged with random-matrix
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user 164061
A random matrix is a matrix whose entries consist of random variables from some specified distribution. Random matrices have many modern applications in physics, finance, statistics and numerical analysis.
3
votes
What is the difference between a matrix normal distribution and the multivariate gaussian di...
Example for diagonal matrices $$U = \begin{bmatrix} u_1 & 0 & 0 \\0& u_2 & 0 \\ 0&0&u_3 \end{bmatrix}$$ and $$V = \begin{bmatrix} v_1 & 0 & 0 \\0& v_2 & 0 \\ 0&0&v_3 \end{bmatrix}$$
lead to $$\Sigma = …
- 86.6k
1
vote
significance of PCA with EWMA
I would naively use $\lambda^{-1}$ (or some more sophisticated similar calculation) as the number of data points
With $\lambda^{-1} = 1/0.95 \approx 1.05$ you are using approximately 1.05 datapoints …
- 86.6k