## 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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### Cited by 11 Authors

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top 5

### Cited in 7 Serials

### Cited in 4 Fields

6 | Statistics (62-XX) |

4 | Linear and multilinear algebra; matrix theory (15-XX) |

3 | Probability theory and stochastic processes (60-XX) |

1 | Dynamical systems and ergodic theory (37-XX) |