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.

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

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