Distributions, Statistics and Tests derived from Random Matrix
Theory
Description
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.