J
Joël Bun
Researcher at Capital Fund Management
Publications - 6
Citations - 461
Joël Bun is an academic researcher from Capital Fund Management. The author has contributed to research in topics: Eigenvalues and eigenvectors & Matrix (mathematics). The author has an hindex of 4, co-authored 6 publications receiving 347 citations. Previous affiliations of Joël Bun include Université Paris-Saclay.
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Cleaning large correlation matrices: Tools from Random Matrix Theory
TL;DR: This review covers recent results concerning the estimation of large covariance matrices using tools from Random Matrix Theory and establishes empirically the efficacy of the RIE framework, which is found to be superior in this case to all previously proposed methods.
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Cleaning large correlation matrices: tools from random matrix theory
TL;DR: In this article, a review of recent results concerning the estimation of large covariance matrices using tools from Random Matrix Theory (RMT) is presented, with an emphasis on the Marchenko-Pastur equation that provides information on the resolvent of multiplicatively corrupted noisy matrices.
Journal ArticleDOI
Rotational Invariant Estimator for General Noisy Matrices
TL;DR: In this article, the authors investigated the problem of estimating a real symmetric signal matrix C from a noisy observation matrix M in the limit of large dimension, where the noisy measurement M comes either from an arbitrary additive or multiplicative rotational invariant perturbation.
Journal ArticleDOI
Rotational invariant estimator for general noisy matrices
TL;DR: The replica method is used, using the replica method, to establish the asymptotic global law estimate for three general classes of noisy matrices, significantly extending previously obtained results.
Journal ArticleDOI
Cleaning large correlation matrices: tools from random matrix theory
TL;DR: In this article, a review of recent results concerning the estimation of large covariance matrices using tools from Random Matrix Theory (RMT) is presented, with an emphasis on the Marchenko-Pastur equation that provides information on the resolvent of multiplicatively corrupted noisy matrices.