221 citations · 308 across the 3 of their papers we have counts for
3 papers
cond-mat.stat-mech2016★ 221 cited
Cleaning large correlation matrices: tools from random matrix theory
Joël Bun, Jean-Philippe Bouchaud, Marc Potters
This review covers recent results concerning the estimation of large covariance matrices using tools from Random Matrix Theory (RMT). We introduce several RMT methods and analytica…
cond-mat.stat-mech2015★ 73 cited
Rotational invariant estimator for general noisy matrices
Joël Bun, Romain Allez, Jean-Philippe Bouchaud +1
We investigate the problem of estimating a given real symmetric signal matrix from a noisy observation matrix in the limit of large dimension. We consider…
math.PR2015★ 14 cited
The eigenvectors of Gaussian matrices with an external source
Romain Allez, Joël Bun, Jean-Philippe Bouchaud
We consider a diffusive matrix process defined as where is a given deterministic Hermitian matrix and is a Hermitian Brownian mot…