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
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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

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