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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
DOI: 10.32614/CRAN.package.RMT4DS
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

Documentation:

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

Downloads:

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

Linking:

Please use the canonical form https://CRAN.R-project.org/package=RMT4DS to link to this page.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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