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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" (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.
Getting started
Browse package contents
Package details |
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| Author | Iain M. Johnstone, Zongming Ma, Patrick O. Perry and Morteza Shahram. |
| Maintainer | Patrick O. Perry <pperry@stern.nyu.edu> |
| License | BSD_3_clause + file LICENSE |
| Version | 0.3 |
| Package repository | View on CRAN |
| Installation |
Install the latest version of this package by entering the following in R:
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