futile.matrix-package: A collection of matrix manipulation functions
In zatonovo/futile.matrix: Random Matrix Generation and Manipulation

Description Details Author(s) References See Also Examples

This package provides functions for working with random matrices. It also provides various convenience functions for examining data within matrices as well as some optimized functions for reading matrices in various formats.

Package:	futile.matrix
Type:	Package
Version:	1.2.7
Date:	2018-04-20
License:	LGPL-3
LazyLoad:	yes

Random matrix ensembles can be created using this package. It's also possible to fit the Marcenko-Pastur distribution to Wishart matrices, enabling you to isolate the noise portion of the eigenvalue spectrum.

Brian Lee Yung Rowe <r@zatonovo.com>

The Distribution Functions of Random Matrix Theory, Craig A. Tracy, UC Davis http://www.math.ucsc.edu/research/rmtg.html

Introduction to the Random Matrix Theory: Gaussian Unitary Ensemble and Beyond http://arxiv.org/abs/math-ph/0412017v2

Tyler's M-Estimator, Random Matrix Theory, and Generalized Elliptical Distributions with Applications to Finance http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1287683

select, expand, read.matrix

# Generate a random ensemble
m <- rmatrix(WishartModel(100,400))

# Select sub-matrices
library(datasets)
select(swiss, "Rive")
select(swiss, col.pat='^E')
select(swiss, "Rive", '^E') <- -1
dimnames <- list( c(rownames(swiss), 'Zermat', 'Zurich', 'Geneva'),
 c(colnames(swiss), 'Age','Hair.Color') )
my.swiss <- expand(swiss, dimnames)