slihn / RMT

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Random Matrix Theory (RMT)

This is a collection of the R files associated with the book "Introduction to Random Matrices" by Giacomo Livan, Marcel Novaes, and Pierpaolo Vivo.

The R files are rewritten from the original Matlab files.

My main interest is to understand the impact of random matrix to the covariance matrix in the quantitative finance setting. This is described in the Wilshart ensembles. Please contact me if you have similar interest.

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Language:MATLAB 83.3%Language:R 16.7%