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 all top 5 Cited by 11 Authors 1 Aue, Alexander 1 Izenman, Alan Julian 1 Jiang, Tiefeng 1 Johnstone, Iain Murray 1 Kalantari, Mahdi 1 Li, Danning 1 Ma, Zongming 1 Paul, Debashis 1 Rahmatan, Hormoz 1 Saccenti, Edoardo 1 Timmerman, Marieke E. all top 5 Cited in 7 Serials 1 Psychometrika 1 Journal of Statistical Planning and Inference 1 Statistical Science 1 Journal of Theoretical Probability 1 Bernoulli 1 The Annals of Applied Statistics 1 Caspian Journal of Mathematical Sciences 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) Citations by Year