RMTstat: Distributions, Statistics and Tests derived from Random Matrix Theory
Version 0.3

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.

AuthorIain M. Johnstone, Zongming Ma, Patrick O. Perry and Morteza Shahram.
Date of publication2014-11-01 23:50:54
MaintainerPatrick O. Perry <pperry@stern.nyu.edu>
LicenseBSD_3_clause + file LICENSE
Version0.3
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("RMTstat")

Popular man pages

MarcenkoPastur: The Marcenko-Pastur Distribution
TracyWidom: The Tracy-Widom Distributions
WishartMax: The White Wishart Maximum Eigenvalue Distributions
WishartMaxPar: White Wishart Maximum Eigenvalue Centering and Scaling
WishartSpike: The Spiked Wishart Maximum Eigenvalue Distributions
WishartSpikePar: Spiked Wishart Eigenvalue Centering and Scaling
See all...

All man pages Function index File listing

Man pages

MarcenkoPastur: The Marcenko-Pastur Distribution
TracyWidom: The Tracy-Widom Distributions
WishartMax: The White Wishart Maximum Eigenvalue Distributions
WishartMaxPar: White Wishart Maximum Eigenvalue Centering and Scaling
WishartSpike: The Spiked Wishart Maximum Eigenvalue Distributions
WishartSpikePar: Spiked Wishart Eigenvalue Centering and Scaling

Functions

Files

inst
inst/CITATION
tests
tests/testdata.rda
tests/tests.R
NAMESPACE
R
R/rtw.R
R/sysdata.rda
R/qtw.R
R/ptw.R
R/mp.R
R/q0.R
R/WishartMax.R
R/interp.R
R/WishartSpike.R
R/dtw.R
MD5
DESCRIPTION
man
man/MarcenkoPastur.Rd
man/WishartMaxPar.Rd
man/WishartSpikePar.Rd
man/TracyWidom.Rd
man/WishartMax.Rd
man/WishartSpike.Rd
LICENSE
RMTstat documentation built on May 19, 2017, 11:25 p.m.

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