Rmtstat: Distributions, statistics and tests derived from random matrix theory. R packge RMTstat: 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.
Keywords for this software
References in zbMATH (referenced in 6 articles )
Showing results 1 to 6 of 6.
- Izenman, Alan Julian: Random matrix theory and its applications (2021)
- Saccenti, Edoardo; Timmerman, Marieke E.: Considering Horn’s parallel analysis from a random matrix theory point of view (2017)
- Jiang, Tiefeng; Li, Danning: Approximation of rectangular beta-Laguerre ensembles and large deviations (2015)
- Paul, Debashis; Aue, Alexander: Random matrix theory in statistics: a review (2014)
- Ma, Zongming: Accuracy of the Tracy-Widom limits for the extreme eigenvalues in white Wishart matrices (2012)
- Johnstone, Iain M.: Approximate null distribution of the largest root in multivariate analysis (2009)