CDF for Tracy-Widom Distribution of Gaussian Unitary Ensemble

Version 1.0.0.0 (3.13 KB) by Matthew Brenneman
Table of CDF for Beta=2 TW: approxs CDF of max eval from complex central white wishart matrix.
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Updated 29 Jun 2009

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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

Cite As

Matthew Brenneman (2024). CDF for Tracy-Widom Distribution of Gaussian Unitary Ensemble (https://www.mathworks.com/matlabcentral/fileexchange/24590-cdf-for-tracy-widom-distribution-of-gaussian-unitary-ensemble), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2009a
Compatible with any release
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Version Published Release Notes
1.0.0.0