A First Course in Random Matrix Theory

A First Course in Random Matrix Theory For Physicists, Engineers and Data Scientists

Hardback (03 Dec 2020)

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The real world is perceived and broken down as data, models and algorithms in the eyes of physicists and engineers. Data is noisy by nature and classical statistical tools have so far been successful in dealing with relatively smaller levels of randomness. The recent emergence of Big Data and the required computing power to analyse them have rendered classical tools outdated and insufficient. Tools such as random matrix theory and the study of large sample covariance matrices can efficiently process these big data sets and help make sense of modern, deep learning algorithms. Presenting an introductory calculus course for random matrices, the book focusses on modern concepts in matrix theory, generalising the standard concept of probabilistic independence to non-commuting random variables. Concretely worked out examples and applications to financial engineering and portfolio construction make this unique book an essential tool for physicists, engineers, data analysts, and economists.

Book information

ISBN: 9781108488082
Publisher: Cambridge University Press
Imprint: Cambridge University Press
Pub date:
DEWEY: 512.9434
DEWEY edition: 23
Language: English
Number of pages: xx, 350
Weight: 796g
Height: 176mm
Width: 249mm
Spine width: 26mm