92 citations · 251 across the 10 of their papers we have counts for
10 papers
Permutation invariant Gaussian matrix models for financial correlation matrices
George Barnes, Sanjaye Ramgoolam, Michael Stephanou
We construct an ensemble of correlation matrices from high-frequency foreign exchange market data, with one matrix for every day for 446 days. The matrices are symmetric and have v…
hermiter: R package for Sequential Nonparametric Estimation
Michael Stephanou, Melvin Varughese
This article introduces the R package hermiter which facilitates estimation of univariate and bivariate probability density functions and cumulative distribution functions along wi…
Sequential estimation of Spearman rank correlation using Hermite series estimators
Michael Stephanou, Melvin Varughese
In this article we describe a new Hermite series based sequential estimator for the Spearman rank correlation coefficient and provide algorithms applicable in both the stationary a…
Sequential Quantiles via Hermite Series Density Estimation
Michael Stephanou, Melvin Varughese, Iain Macdonald
Sequential quantile estimation refers to incorporating observations into quantile estimates in an incremental fashion thus furnishing an online estimate of one or more quantiles at…
Nonparametric Transient Classification using Adaptive Wavelets
Melvin M. Varughese, Rainer von Sachs, Michael Stephanou +1
Classifying transients based on multi band light curves is a challenging but crucial problem in the era of GAIA and LSST since the sheer volume of transients will make spectroscopi…
On subgroup adapted bases for representations of the symmetric group
Robert de Mello Koch, Norman Ives, Michael Stephanou
The split basis of an irreducible representation of the symmetric group, , is the basis which is adapted to direct product subgroups of the form . In t…