RMTstat: Distributions, Statistics and Tests Derived from Random Matrix Theory
Iain M. Johnstone, Zongming Ma, Patrick O. Perry, Morteza Shahram, Evan Biederstedt · 2009
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 functions were computed by Momar Dieng's MATLAB package "RMLab". This package is part of a collaboration between Iain Johnstone, Zongming Ma, Patrick Perry, and Morteza Shahram.