Politi, M;
Scalas, E;
Fulger, D;
Germano, G;
(2010)
Spectral densities of Wishart-Lévy free stable random matrices.
European Physical Journal B
, 73
(1)
pp. 13-22.
10.1140/epjb/e2009-00360-7.
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Abstract
Random 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 Lévy stable distributions. Here the derivation of an analytical expression for the spectra of covariance matrices approximated by free Lévy stable random variables is reviewed comprehensively and validated by Monte Carlo simulation.
| Type: | Article |
|---|---|
| Title: | Spectral densities of Wishart-Lévy free stable random matrices |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.1140/epjb/e2009-00360-7 |
| Publisher version: | http://dx.doi.org/10.1140/epjb/e2009-00360-7 |
| Language: | English |
| Additional information: | The final publication is available at Springer via http://dx.doi.org/10.1140/epjb/e2009-00360-7. |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > UCL BEAMS UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science > Dept of Computer Science |
| URI: | https://discovery.ucl.ac.uk/id/eprint/1407446 |
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