Module 2 · Lesson 6 · 9 min

RMT / Marcenko–Pastur in One Lesson

What you'll be able to do

  • Calculate the Marčenko-Pastur edges λ− and λ+ for a given N and T.
  • Sort a matrix's eigenvalues into factors and noise, and say which are marginal.
  • Clean a correlation matrix by clipping, and check that its trace is unchanged.

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