sample_spiked_wishart function

Efficiently sample the singular values corresponding to a random Wishart matrix with spiked eigenvalues Specifically, if W = G G^T with each column of G drawn iid from N(0, Sigma), then W is a Wishart matrix and this function samples the singular values of G. The eigenvalues of W are just the squares of the singular values. Here, Sigma is diagonal with its leading entries from spiked_sd^2 and all remaining entries are population_sd^2.

  • Maintainer: Thomas Brooks
  • License: MIT + file LICENSE
  • Last published: 2025-07-23

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