Eigenvalues of Hermite and Laguerre ensembles : large beta asymptotics
Ioana Dumitriu, Alan Edelman (2005)
Annales de l'I.H.P. Probabilités et statistiques
Similarity:
Ioana Dumitriu, Alan Edelman (2005)
Annales de l'I.H.P. Probabilités et statistiques
Similarity:
Zhidong Bai, Jian-Feng Yao (2008)
Annales de l'I.H.P. Probabilités et statistiques
Similarity:
In a spiked population model, the population covariance matrix has all its eigenvalues equal to units except for a few fixed eigenvalues (spikes). This model is proposed by Johnstone to cope with empirical findings on various data sets. The question is to quantify the effect of the perturbation caused by the spike eigenvalues. A recent work by Baik and Silverstein establishes the almost sure limits of the extreme sample eigenvalues associated to the spike eigenvalues when the population...
Claudio Albanese, Luis Seco (2001)
Revista Matemática Iberoamericana
Similarity:
Value at Risk is a measure of risk exposure of a portfolio and is defined as the maximum possible loss in a certain time frame, typically 1-20 days, and within a certain confidence, typically 95%. Full valuation of a portfolio under a large number of scenarios is a lengthy process. To speed it up, one can make use of the total delta vector and the total gamma matrix of a portfolio and compute a Gaussian integral over a region bounded by a quadric. We use methods from harmonic analysis...
N. Ortner, P. Wagner (1995)
Annales de l'I.H.P. Physique théorique
Similarity:
Steve Hofmann, Alan McIntosh (2002)
Publicacions Matemàtiques
Similarity:
We solve, in two dimensions, the "square root problem of Kato". That is, for L ≡ -div (A(x)∇), where A(x) is a 2 x 2 accretive matrix of bounded measurable complex coefficients, we prove that L1/2: L1 2(R2) → L2(R2). [Proceedings of the 6th International Conference on Harmonic Analysis and Partial Differential Equations, El Escorial...
Pierre van Moerbeke (1999-2000)
Séminaire Bourbaki
Similarity:
Johannes Schmid (1984)
Acta Arithmetica
Similarity: