141 citations · 2k across the 103 of their papers we have counts for
3 papers · 1 filter
Random walkers versus random crowds: diffusion of large matrices
Ewa Gudowska-Nowak, Romuald J. Janik, Jerzy Jurkiewicz +2
We briefly review the random matrix theory for large N by N matrices viewed as free random variables in a context of stochastic diffusion. We establish a surprising link between th…
Applying Free Random Variables to Random Matrix Analysis of Financial Data. Part I: A Gaussian Case
Z. Burda, A. Jarosz, J. Jurkiewicz +3
We apply the concept of free random variables to doubly correlated (Gaussian) Wishart random matrix models, appearing for example in a multivariate analysis of financial time serie…
Random Levy Matrices Revisited
Zdzislaw Burda, Jerzy Jurkiewicz, Maciej A. Nowak +2
We compare eigenvalue densities of Wigner random matrices whose elements are independent identically distributed (iid) random numbers with a Levy distribution and maximally random…