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.

Getting started

Package details

AuthorIain M. Johnstone, Zongming Ma, Patrick O. Perry, Morteza Shahram, and Evan Biederstedt
MaintainerEvan Biederstedt <evan.biederstedt@gmail.com>
LicenseBSD_3_clause + file LICENSE
URL https://github.com/evanbiederstedt/RMTstat
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:

Try the RMTstat package in your browser

Any scripts or data that you put into this service are public.

RMTstat documentation built on April 13, 2022, 1:07 a.m.