Computation of Random Matrix Models

We generate random variables following general Marchenko-Pastur distribution and Tracy-Widom distribution. We compute limits and distributions of eigenvalues and generalized components of spiked covariance matrices. We give estimation of all population eigenvalues of spiked covariance matrix model. We give tests of population covariance matrix. We also perform matrix denoising for signal-plus-noise model.


Reference manual

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install.packages("RMT4DS")

0.0.1 by Xiucai Ding, 4 years ago


Browse source code at https://github.com/cran/RMT4DS


Authors: Xiucai Ding [aut, cre, cph] , Yichen Hu [aut, cph]


Documentation:   PDF Manual  


MIT + file LICENSE license


Imports MASS, RMTstat, lpSolve, mpoly, nleqslv, pracma, rARPACK, rootSolve, quadprog

Suggests knitr, rmarkdown


See at CRAN