CDF for Tracy-Widom Distribution of Gaussian Unitary Ensemble

Table of CDF for Beta=2 TW: approxs CDF of max eval from complex central white wishart matrix.

Description

This file contains a 2 x 495 array, which can be read directly using the MatLab "csvread" command.

Let
Z = standardized test statistic
CDF(Z) = cummulative distbtn function at Z
then
Z = array elements in (1,:) =[-3.9 : 0.01 : 2.49]
CDF(Z) = array elements in (2,:) which goes from 0.005479 to 999980.

Data taken from Andrei Bejan's thesis (with the author's permission) who performed these calculations: for further details see: http://www.cl.cam.ac.uk/~aib29/MScdssrtnWrwck.pdf

• MATLAB release: MATLAB 7.8 (R2009a)

[Christopher Carr]

If you are interested in the Beta=1 TW distribution, not the Beta=2 TW distribution shown here, you can find it in MATLAB central by clicking on the "tracywidom" tag.

The TW1 distribution can be used to test for the number of significant principal components as described in: Patterson N, Price AL, Reich D, 2006 Population Structure and Eigenanalysis. PLoS Genet 2(12): e190. doi:10.1371/journal.pgen.0020190