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Python scripts from paper Optimal cleaning for singular values of cross-covariance matrices, by Florent Benaych-Georges, Jean-Philippe Bouchaud, Marc Potters (see https://arxiv.org/abs/1901.05543)

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CFMTech/Optimal_cleaning_for_singular_values_of_cross-covariance_matrices

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Optimal_cleaning_for_singular_values_of_cross-covariance_matrices

These are the python scripts that allow to generate the numerical simulations from paper "Optimal cleaning for singular values of cross-covariance matrices", by Florent Benaych-Georges, Jean-Philippe Bouchaud, Marc Potters (see https://arxiv.org/abs/1901.05543)

base_functions.py is imported in all scripts: in their current form, the imports work if base_functions.py is in the same directory as the scripts where it is imported