Before revision:  As reference distributions we will use the theoretical Marchenko Pastur distribution and , mainly, simulated ones using a random matrix of the same size as the empirical rolling matrix and constituted of Gaussian or Student-t coefficients with some simulated correlations.
After revision:  As reference distributions we use the theoretical Marchenko Pastur distribution and , mainly, simulated ones using a random matrix of the same size as the empirical rolling matrix and constituted of Gaussian or Student-t coefficients with some simulated correlations.