Spectral densities of Wishart-Levy free stable random matrices: Analytical results and Monte Carlo validation
AbstractRandom matrix theory is used to assess the significance of weak correlations and is well established for Gaussian statistics. However, many complex systems, with stock markets as a prominent example, exhibit statistics with power-law tails, that can be modelled with Levy stable distributions. We review comprehensively the derivation of an analytical expression for the spectra of covariance matrices approximated by free Levy stable random variables and validate it by Monte Carlo simulation.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 0903.1629.
Date of creation: Mar 2009
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Publication status: Published in European Physical Journal B 79 (1), 13-22, 2010
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-09-26 (All new papers)
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