2 papers
math.ST2025
Optimal Data Splitting for Holdout Cross-Validation in Large Covariance Matrix Estimation
Lamia Lamrani, Christian Bongiorno, Marc Potters
Cross-validation is a statistical tool that can be used to improve large covariance matrix estimation. Although its efficiency is observed in practical applications and a convergen…
math-ph2024
Distribution of the Diagonal Entries of the Resolvent of a Complex Ginibre Matrix
Pierre Bousseyroux, Jean-Philippe Bouchaud, Marc Potters
The study of eigenvalue distributions in random matrix theory is often conducted by analyzing the resolvent matrix $ \mathbf{G}_{\mathbf{M}}^N(z) = (z \mathbf{1} - \mathbf{M})^{-1}…