Distributions, Statistics and Tests Derived from Random Matrix Theory
The Marcenko-Pastur Distribution
The Tracy-Widom Distributions
The White Wishart Maximum Eigenvalue Distributions
White Wishart Maximum Eigenvalue Centering and Scaling
The Spiked Wishart Maximum Eigenvalue Distributions
Spiked Wishart Eigenvalue Centering and Scaling
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.