An iterative algorithm combining adaptive Marčenko–Pastur edge recalibration with a participation-ratio delocalization filter recovers weak global factors near the BBP transition in high-dimensional financial correlation matrices.
, K Now consider the remaining factor-space directions
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Iterative detection of global factors near the BBP phase transition
An iterative algorithm combining adaptive Marčenko–Pastur edge recalibration with a participation-ratio delocalization filter recovers weak global factors near the BBP transition in high-dimensional financial correlation matrices.