RMTstat (0.3)

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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.

Maintainer: Patrick O. Perry
Author(s): Iain M. Johnstone, Zongming Ma, Patrick O. Perry and Morteza Shahram.

License: BSD_3_clause + file LICENSE

Uses: Does not use any package
Reverse depends: covmat, futile.matrix, PCGSE
Reverse suggests: fitteR

Released about 5 years ago.

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