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.

Version: 0.3
Published: 2014-11-01
Author: Iain M. Johnstone, Zongming Ma, Patrick O. Perry and Morteza Shahram.
Maintainer: Patrick O. Perry <pperry at stern.nyu.edu>
License: BSD_3_clause + file LICENSE
NeedsCompilation: no
Citation: RMTstat citation info
In views: Distributions
CRAN checks: RMTstat results

Downloads:

Reference manual: RMTstat.pdf
Package source: RMTstat_0.3.tar.gz
Windows binaries: r-devel: RMTstat_0.3.zip, r-release: RMTstat_0.3.zip, r-oldrel: RMTstat_0.3.zip
OS X Snow Leopard binaries: r-release: RMTstat_0.3.tgz, r-oldrel: RMTstat_0.3.tgz
OS X Mavericks binaries: r-release: RMTstat_0.3.tgz
Old sources: RMTstat archive

Reverse dependencies:

Reverse depends: PCGSE
Reverse imports: futile.matrix