Questions tagged [random]
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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 ...
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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 ...
