Correlation matrix of equi-correlated normal population: fluctuation of the largest eigenvalue, scaling of the bulk eigenvalues, and stock market

11 December 2022

Papers citing "Correlation matrix of equi-correlated normal population: fluctuation of the largest eigenvalue, scaling of the bulk eigenvalues, and stock market"

3 / 3 papers shown

Title
Asymptotic locations of bounded and unbounded eigenvalues of sample correlation matrices of certain factor models -- application to a components retention rule Yohji Akama Peng Tian 39 0 0 10 Jul 2024
A dichotomous behavior of Guttman-Kaiser criterion from equi-correlated normal population Y. Akama Atina Husnaqilati 19 4 0 23 Oct 2022
Cleaning large correlation matrices: tools from random matrix theory J. Bun J. Bouchaud M. Potters 32 262 0 25 Oct 2016