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 ...

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 ...

This paper develops a method for performing inference using spatially dependent data. We consider test statistics formed using nonparametric covariance matrix estimators that account for ...

This paper describes a general method for deriving optimal procedures for problems where the covariance matrices are patterned under both null and alternative hypotheses. The pattern considered in ...