Questions tagged [random]

The tag has no usage guidance.

Filter by
Sorted by
Tagged with
3
votes
0answers
56 views

How do you adapt Marcenko-Pastur for EWMA correlation matrix

Hi to denoise the correlation matrix you can use the marcenko pastur distribution. Even without getting into its detail,. its easy, you just use t/n to get the lambda value under which you will ...
0
votes
2answers
94 views

Reliable random number generation for Monte Carlo

Monte Carlo methods typically require us to construct very large vectors of numbers. In doing so it is often of great importance that the generated random numbers are independent. My question here, as ...