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

Share:

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.

Author
Iain M. Johnstone, Zongming Ma, Patrick O. Perry and Morteza Shahram.
Date of publication
2014-11-01 23:50:54
Maintainer
Patrick O. Perry <pperry@stern.nyu.edu>
License
BSD_3_clause + file LICENSE
Version
0.3

View on CRAN

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

Files in this package

RMTstat
RMTstat/inst
RMTstat/inst/CITATION
RMTstat/tests
RMTstat/tests/testdata.rda
RMTstat/tests/tests.R
RMTstat/NAMESPACE
RMTstat/R
RMTstat/R/rtw.R
RMTstat/R/sysdata.rda
RMTstat/R/qtw.R
RMTstat/R/ptw.R
RMTstat/R/mp.R
RMTstat/R/q0.R
RMTstat/R/WishartMax.R
RMTstat/R/interp.R
RMTstat/R/WishartSpike.R
RMTstat/R/dtw.R
RMTstat/MD5
RMTstat/DESCRIPTION
RMTstat/man
RMTstat/man/MarcenkoPastur.Rd
RMTstat/man/WishartMaxPar.Rd
RMTstat/man/WishartSpikePar.Rd
RMTstat/man/TracyWidom.Rd
RMTstat/man/WishartMax.Rd
RMTstat/man/WishartSpike.Rd
RMTstat/LICENSE