Marchenko Pastur Law

Simulation In random Matrix Theory
566 Downloads
Updated 30 Jan 2015

View License

In Random Matrix Theory, MP law gives the probability density function of singular values of large rectangular random matrices; when the dimensions of matrix tend to infinity.
This contribution illustrates the PDF of matrix Y(N,N)=(T^-1)X*X^T, where X is random matrix whose entries X_i,j are independent and identically distributed random variables with zero mean and variance s^2. The program is applicable for both uniform and random distributions.
Ref :
Marchenko,V. A., Pastur, L. A. (1967) "Distribution of eigenvalues for some sets of
random matrices", Mat. Sb. (N.S.), 72(114):4, 507–536

Cite As

Youssef Khmou (2024). Marchenko Pastur Law (https://www.mathworks.com/matlabcentral/fileexchange/49438-marchenko-pastur-law), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2007a
Compatible with any release
Platform Compatibility
Windows macOS Linux
Categories
Find more on Random Number Generation in Help Center and MATLAB Answers

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!
Version Published Release Notes
1.0.0.0