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Rmtstat

swMATH ID: 20058
Software Authors: Johnstone, I. M., Ma, Z., Perry, P. O. Shahram, M.
Description: 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.
Homepage: https://cran.r-project.org/web/packages/RMTstat/index.html
Source Code:  https://github.com/cran/Rmtstat
Dependencies: R
Related Software: CaterpillarSSA; RMTool; CHull; bootstrap; PMA; scout; penalizedLDA; glasso
Cited in: 7 Publications

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