Random Matrix Theory (RMT) has emerged as an indispensable framework for understanding the statistical properties of matrices whose entries are determined by probabilistic processes. Initially ...

The probability (Q) that the estimated between-group covariance matrix is not positive definite is computed for the balanced single classification multivariate analysis of variance with random effects ...

Random Fisher matrices arise naturally in multivariate statistical analysis and understanding the properties of its eigenvalues is of primary importance for many hypothesis testing problems like ...

Harry Markowitz famously quipped that diversification is the only free lunch in investing. What he did not say is that this is only true if correlations are known and stable over time. Markowitz’s ...