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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 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.
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Package details |
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| Author | Iain M. Johnstone [aut], Zongming Ma [aut], Patrick O. Perry [aut], Morteza Shahram [aut], Evan Biederstedt [aut, cre] |
| Maintainer | Evan Biederstedt <evan.biederstedt@gmail.com> |
| License | BSD_3_clause + file LICENSE |
| Version | 0.3.2 |
| URL | https://github.com/evanbiederstedt/RMTstat |
| Package repository | View on CRAN |
| Installation |
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