patperry/r-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 ). 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 and Morteza Shahram.
MaintainerPatrick O. Perry <>
LicenseBSD_3_clause + file LICENSE
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
patperry/r-rmtstat documentation built on May 24, 2019, 8:20 p.m.