Computation of Random Matrix Models
Estimation of the Spectrum of Population Covariance Matrix
High-dimensional Covariance Test
General Marchenko-Pastur Distribution
The Wishart Maximum Eigenvalue Distribution
Limits in High-dimensional Sample Covariance
Signal-Plus-Noise 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.