A First Course in Random Matrix Theory eBook
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Download the eBook: A First Course in Random Matrix Theory

A First Course in Random Matrix Theory

for Physicists, Engineers and Data Scientists

Jean-Philippe Bouchaud, Marc Potters


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The real world is perceived and broken down as data, models and algorithms in the eyes of physicists and engineers. Data is noisy by nature and classical statistical tools have so far been successful in dealing with relatively smaller levels of randomness. The recent emergence of Big Data and the required computing power to analyse them have rendered classical tools outdated and insufficient. Tools such as random matrix theory and the study of large sample covariance matrices can efficiently process these big data sets and help make sense of modern, deep learning algorithms. Presenting an introductory calculus course for random matrices, the book focusses on modern concepts in matrix theory, generalising the standard concept of probabilistic independence to non-commuting random variables. Concretely worked out examples and applications to financial engineering and portfolio construction make this unique book an essential tool for physicists, engineers, data analysts, and economists.

About the book
Author
  Jean-Philippe Bouchaud , Marc  Potters
Imprint
Cambridge University Press
Collection
n.c
Publication date
2020-12-03
Pages
n.c
Print ISBN
9781108488082
Language
English
Ebook informations
EAN PDF
9781108846837
Price
£63.30
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Copy count 0
Print count 0
File size 5622 Ko
Ce livre est accessible aux handicaps   Informations accessibility
EAN EPUB
9781108858274
Price
£63.30
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Copy count 0
Print count 0
File size 17695 Ko
Ce livre est accessible aux handicaps   Informations accessibility
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