RMTstat v0.3
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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
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.
Functions in RMTstat
| Name | Description | |
| WishartSpike | The Spiked Wishart Maximum Eigenvalue Distributions | |
| WishartMaxPar | White Wishart Maximum Eigenvalue Centering and Scaling | |
| WishartMax | The White Wishart Maximum Eigenvalue Distributions | |
| MarcenkoPastur | The Marcenko-Pastur Distribution | |
| TracyWidom | The Tracy-Widom Distributions | |
| WishartSpikePar | Spiked Wishart Eigenvalue Centering and Scaling | |
| No Results! | ||
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Details
| Date | 2014-10-30 |
| License | BSD_3_clause + file LICENSE |
| Encoding | UTF-8 |
| Packaged | 2014-11-01 19:14:43 UTC; patperry |
| NeedsCompilation | no |
| Repository | CRAN |
| Date/Publication | 2014-11-01 23:50:54 |
| Contributors | Patrick Perry, Iain Johnstone, Zongming Ma, Morteza Shahram |
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