Simulating sample correlation matrices is important in many areas of statistics. Approaches such as generating Gaussian data and finding their sample correlation matrix or generating random uniform ...

For example, a downward move of the S&P 500 leads to an increased average correlation between stocks. Here again, RMT provides powerful tools to describe the time evolution of the full covariance ...

We introduce the matrix multivariate auto-distance covariance and correlation functions for time series, discuss their interpretation and develop consistent estimators for practical implementation.