Random Matrix Theory (RMT) has emerged as an indispensable framework for understanding the statistical properties of matrices whose entries are determined by probabilistic processes. Initially ...

We place ourselves in the setting of high-dimensional statistical inference, where the number of variables p in a data set of interest is of the same order of magnitude as the number of observations n ...

Harry Markowitz famously quipped that diversification is the only free lunch in investing. What he did not say is that this is only true if correlations are known and stable over time. Markowitz’s ...

The probability (Q) that the estimated between-group covariance matrix is not positive definite is computed for the balanced single classification multivariate analysis of variance with random effects ...