/Spectrode-R

Spectrode in R

Primary LanguageMATLAB

Spectrode in R

An R implementation of the Spectrode method for computing the limit eigenvalue distribution of high-dimensional sample covariance matrices.

Please see the Examples folder for examples, and the Code folder for the main code.

Additional notes

  • The method was proposed in the following paper Dobriban. E, Efficient Computation of Limit Spectra of Sample Covariance Matrices, Random Matrices: Theory Appl., 04, 1550019 (2015). http://arxiv.org/abs/1507.01649

  • This package is work in progress. Suggestions and comments are welcome. A MATLAB version is also available https://github.com/dobriban/EigenEdge/. The latter is much more developed, and has a detailed documentation with examples. In time, this R package should have more functionality added.

We thank Haeran Cho for pointing out a typo in the code.