The evolution with β of the distributions of the spacing ‘s’ between nearest-neighbour levels of unfolded spectra of random matrices from the β-Hermite ensemble (β-HE) is investigated by Monte Carlo simulations. The random matrices from the β-HE are real symmetric and tridiagonal where...

The exponentially weighted moving average (EWMA) covariance estimator is a standard estimator for financial time series, and its spectrum can be used for so-called random matrix filtering. Random matrix filtering using the spectrum of the sample covariance matrix is an established tool in...

We present a general method to detect and extract from a finite time sample statistically meaningful correlations between input and output variables of large dimensionality. Our central result is derived from the theory of free random matrices, and gives an explicit expression for the interval...