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", which is 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.

Downloads:

Reverse dependencies: