random-matrix

Python scripts from paper Optimal cleaning for singular values of cross-covariance matrices, by Florent Benaych-Georges, Jean-Philippe Bouchaud, Marc Potters (see https://arxiv.org/abs/1901.05543)

This is the computer project "Random matrix thoery" for the course "Applied stochastic analysis" lectured by Prof. Tiejun Li.

A Python package for numerical work with random matrix ensembles, with a particular focus on the Gaussian, Circular, and Laguerre beta ensembles. The package implements spectrum generation for general Dyson index beta.

Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization

This repository provides a function for generating a random complex-valued Hermitian positive semi-definite matrix.

Computational art that visualizes weather through eigenvalue analysis.