Distributions, Statistics and Tests derived from Random Matrix Theory

Functions for working with the Tracy-Widom laws and other distributions related to the eigenvalues of large Wishart matrices. The tables for computing the Tracy-Widom densities and distribution functions were computed by Momar Dieng's MATLAB package "RMLab" (formerly available on his homepage at http://math.arizona.edu/~momar/research.htm ). This package is part of a collaboration between Iain Johnstone, Zongming Ma, Patrick Perry, and Morteza Shahram. It will soon be replaced by a package with more accuracy and built-in support for relevant statistical tests.


News

Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.

install.packages("RMTstat")

0.3 by Patrick O. Perry, 7 years ago


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


Authors: Iain M. Johnstone , Zongming Ma , Patrick O. Perry and Morteza Shahram.


Documentation:   PDF Manual  


Task views: Probability Distributions


BSD_3_clause + file LICENSE license



Imported by covequal, pagoda2, pcev.

Depended on by PCGSE.

Suggested by fitteR.


See at CRAN