Covariance matrix filtering with bootstrapped hierarchies

• Christian Bongiorno ,

  Contributed equally to this work with: Christian Bongiorno, Damien Challet

  Roles Conceptualization, Data curation, Formal analysis, Investigation, Methodology, Software, Validation, Visualization, Writing – original draft, Writing – review & editing

  * E-mail: christian.bongiorno@centralesupelec.fr

  Affiliation Université Paris-Saclay, CentraleSupélec, Mathématiques et Informatique pour la Complexité et les Systèmes, Gif-sur-Yvette, France

  https://orcid.org/0000-0002-1730-2895

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• Damien Challet

  Contributed equally to this work with: Christian Bongiorno, Damien Challet

  Roles Conceptualization, Data curation, Formal analysis, Funding acquisition, Investigation, Methodology, Project administration, Resources, Software, Supervision, Validation, Visualization, Writing – original draft, Writing – review & editing

  Affiliation Université Paris-Saclay, CentraleSupélec, Mathématiques et Informatique pour la Complexité et les Systèmes, Gif-sur-Yvette, France

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