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math.PR2023
Estimation of large covariance matrices via free deconvolution: computational and statistical aspects
Reda Chhaibi, Fabrice Gamboa, Slim Kammoun +1
The estimation of large covariance matrices has a high dimensional bias. Correcting for this bias can be reformulated via the tool of Free Probability Theory as a free deconvolutio…
math.PR2014★ 3 cited
A limiting random analytic function related to the CUE
Reda Chhaibi, Joseph Najnudel, Ashkan Nikeghbali
We show in this paper that, when properly rescaled in time and in space, the characteristic polynomial of a random unitary matrix converges almost surely to a random analytic funct…