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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 |
| 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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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.