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Matthew Brenneman

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29 Jun 2009 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. Author: Matthew Brenneman pca, largest eigenvalue, tracywidom, statistics 10 1
08 May 2009 Anderson-Darling Goodness Of Fit Test to Inverse Gaussian Distbtn Tests M random samples of N random vars to determine if they are from Inverse Gaussian distbtn. Author: Matthew Brenneman statistics, mathematics, simulation 9 0
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14 Apr 2011 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. Author: Matthew Brenneman Carr, Christopher

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
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statistics, largest eigenvalue, mathematics, pca, simulation
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29 Jun 2009 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. Author: Matthew Brenneman pca, largest eigenvalue, tracywidom, statistics 10 1
08 May 2009 Anderson-Darling Goodness Of Fit Test to Inverse Gaussian Distbtn Tests M random samples of N random vars to determine if they are from Inverse Gaussian distbtn. Author: Matthew Brenneman statistics, mathematics, simulation 9 0

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