Constructing analytically tractable ensembles of stochastic covariances with an application to financial data
Constructing analytically tractable ensembles of stochastic covariances with an application to financial data
In complex systems, crucial parameters are often subject to unpredictable changes in time. Climate, biological evolution and networks provide numerous examples for such non-stationarities. In many cases, improved statistical models are urgently called for. In a general setting, we study systems of correlated quantities to which we refer as amplitudes. …