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.


Reference manual

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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