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