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 functions were computed by Momar Dieng's MATLAB package "RMLab". This package is part of a collaboration between Iain Johnstone, Zongming Ma, Patrick Perry, and Morteza Shahram.

RMTstat

An R package for distributions from random matrix theory

Fork of the original R package of the (now archived) GitHub repo in order to maintain the package for CRAN.

For more details, see the page on CRAN.

RMTstat: 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". 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.

Installation

To install the stable version from CRAN, use:

install.packages('RMTstat')

To install the latest version of RMTstat, use:

install.packages('devtools')
devtools::install_github('evanbiederstedt/RMTstat')

References

R package citation

The R package can be cited as follows:

Iain M. Johnstone, Patrick O. Perry, Zongming Ma, and Morteza Shahram
(2014). RMT: Distributions, Statistics and Tests derived from Random
Matrix Theory. R package version 0.3.1.