sample_spiked_wishart_and_jac function

Efficiently sample the singular values corresponding to a random Wishart matrix with spiked eigenvalues and the Jacobian I.e., these are the singular values of G if GG^T is Wishart. The square of these give the eigenvalues of the random Wishart matrix.

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

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