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Marcenko Pastur distribution 1

[Machine Learning for Asset Managers] Ch 2. Denosing and Detoning (1)

2.1 Motivation Covariance matrix에 많은 noise 포함 Goal Noise 줄이기 Enhancing the signal 2.2 The Marcenko-Pastur Theorem 전제조건 Given $i.i.d$ random observations X size of (TxN) mean:0, variance: $ \sigma^2 $ $ C = T^{-1}X&#39;X $ has eigen value $ \lambda $ PDF(Probability Density Function) $N \rightarrow \infty, T \rightarrow \infty$ with $ 1 < N/T < \infty $, then converges to MP pdf the maximum expec..

ML for ASSET MANAGERS 2021.10.06
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pair trading, clustering, mean reversion, Feature Importance, R/S 비율, Quant, fractional difference, ONC, 분수차분, 금융시장 불확실성, 변수중요도, Stochastic Process, Denosing, OU process, AFML, Hurst exponent, NCO, 허스트지수, Detoning, Marcenko Pastur distribution,

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