futile.matrix (version 1.2.7)

futile.matrix-package: A collection of matrix manipulation functions

Description

This package provides functions for working with random matrices. It also provides various convenience functions for examining data within matrices as well as some optimized functions for reading matrices in various formats.

Details

Package:	futile.matrix
Type:	Package
Version:	1.2.7
Date:	2018-04-20
License:	LGPL-3
LazyLoad:	yes

Random matrix ensembles can be created using this package. It's also possible to fit the Marcenko-Pastur distribution to Wishart matrices, enabling you to isolate the noise portion of the eigenvalue spectrum.

References

The Distribution Functions of Random Matrix Theory, Craig A. Tracy, UC Davis http://www.math.ucsc.edu/research/rmtg.html

Introduction to the Random Matrix Theory: Gaussian Unitary Ensemble and Beyond http://arxiv.org/abs/math-ph/0412017v2

Tyler's M-Estimator, Random Matrix Theory, and Generalized Elliptical Distributions with Applications to Finance http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1287683

See Also

select, expand, read.matrix

Examples

# NOT RUN {
# Generate a random ensemble
m <- rmatrix(WishartModel(100,400))

# Select sub-matrices
library(datasets)
select(swiss, "Rive")
select(swiss, col.pat='^E')
select(swiss, "Rive", '^E') <- -1
dimnames <- list( c(rownames(swiss), 'Zermat', 'Zurich', 'Geneva'),
 c(colnames(swiss), 'Age','Hair.Color') )
my.swiss <- expand(swiss, dimnames)
# }