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CLT for spectra of submatrices of Wigner random matrices II. Stochastic evolution
CLT submatrices Wigner random matrices II Stochastic evolution
2010/11/22
We show that the global fluctuations of spectra of GOE and GUE matrices and their principal submatrices executing Dyson's Brownian motion are Gaussian in the limit of large matrix dimensions. For nest...
Analytical Determination of Fractal Structure in Stochastic Time Series
Fractal Structure Stochastic Time Series
2010/4/8
Current methods for determining whether a time series exhibits fractal structure (FS) rely on subjective assessments on estimators of the Hurst exponent (H). Here, I introduce the Bayesian Assessment ...