Eigenvalue plot
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x |
model of the type RMT obtained by fitting an RMT model to the data |
y |
unused |
... |
additional arguments unused |
Plots eigenvalues of the correlation matrix and overlays the Marchenko-Pastur density on top of it. There is a shap cutoff for the density. We are concerned with eigenvalues beyond this cutoff. Paramters used for plotting are added to the plot
Rohit Arora
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Questions? Problems? Suggestions? Tweet to @rdrrHQ or email at ian@mutexlabs.com.
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