An R package for distributions from random matrix theory
Fork of the original R package of the (now archived) GitHub repo in order to maintain the package for CRAN.
For more details, see the page on CRAN.
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”. 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.
To install the stable version from CRAN, use:
install.packages('RMTstat')To install the latest version of RMTstat, use:
install.packages('devtools')
devtools::install_github('evanbiederstedt/RMTstat')The R package can be cited as follows:
Iain M. Johnstone, Patrick O. Perry, Zongming Ma, and Morteza Shahram
(2014). RMT: Distributions, Statistics and Tests derived from Random
Matrix Theory. R package version 0.3.1.