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. It will soon be
replaced by a package with more accuracy and built-in support for
relevant statistical tests.
Functions in RMTstat
|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|
Last month downloads
Include our badge in your README