RMT4DS: Computation of Random Matrix Models

We generate random variables following general Marchenko-Pastur distribution and Tracy-Widom distribution. We compute limits and distributions of eigenvalues and generalized components of spiked covariance matrices. We give estimation of all population eigenvalues of spiked covariance matrix model. We give tests of population covariance matrix. We also perform matrix denoising for signal-plus-noise model.

Version: 0.0.1
Imports: MASS, RMTstat, lpSolve, mpoly, nleqslv, pracma, rARPACK, rootSolve, quadprog
Suggests: knitr, rmarkdown
Published: 2022-11-14
Author: Xiucai Ding [aut, cre, cph], Yichen Hu [aut, cph]
Maintainer: Xiucai Ding <xiucaiding89 at gmail.com>
License: MIT + file LICENSE
NeedsCompilation: no
Materials: NEWS
CRAN checks: RMT4DS results


Reference manual: RMT4DS.pdf
Vignettes: how-to-use


Package source: RMT4DS_0.0.1.tar.gz
Windows binaries: r-devel: RMT4DS_0.0.1.zip, r-release: RMT4DS_0.0.1.zip, r-oldrel: RMT4DS_0.0.1.zip
macOS binaries: r-release (arm64): RMT4DS_0.0.1.tgz, r-oldrel (arm64): RMT4DS_0.0.1.tgz, r-release (x86_64): RMT4DS_0.0.1.tgz, r-oldrel (x86_64): RMT4DS_0.0.1.tgz


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