Book contents
- Frontmatter
- Contents
- Preface
- List of Symbols
- Part I Classical Random Matrix Theory
- Part II Sums and Products of Random Matrices
- Part III Applications
- 15 Addition and Multiplication: Recipes and Examples
- 16 Products of Many Random Matrices
- 17 Sample Covariance Matrices
- 18 Bayesian Estimation
- 19 Eigenvector Overlaps and Rotationally Invariant Estimators
- 20 Applications to Finance
- Appendix Mathematical Tools
- Index
20 - Applications to Finance
from Part III - Applications
Published online by Cambridge University Press: 12 November 2020
- Frontmatter
- Contents
- Preface
- List of Symbols
- Part I Classical Random Matrix Theory
- Part II Sums and Products of Random Matrices
- Part III Applications
- 15 Addition and Multiplication: Recipes and Examples
- 16 Products of Many Random Matrices
- 17 Sample Covariance Matrices
- 18 Bayesian Estimation
- 19 Eigenvector Overlaps and Rotationally Invariant Estimators
- 20 Applications to Finance
- Appendix Mathematical Tools
- Index
Summary

- Type
- Chapter
- Information
- A First Course in Random Matrix Theoryfor Physicists, Engineers and Data Scientists, pp. 321 - 338Publisher: Cambridge University PressPrint publication year: 2020