- Efficient sampling from matrix distributions and their derived properties.
- Support for Gaussian ensembles (GOE, GUE, ...).
- Support for circular ensembles (COE, CUE, ...).
- Support for Wishart and inverse Wishart distributions.
- Support for matrix normal and
distributions. - Support for limiting distributions of eigenvalues from matrix distributions, which include Wigner semicircle, Tracy–Widom, and Marchenko–Pastur distributions.
- Numerical expectation computation of arbitrary matrix properties. »
Related Examples
Related Functions
- RandomVariate
- MatrixNormalDistribution
- MatrixTDistribution
- WishartMatrixDistribution
- InverseWishartMatrixDistribution
- GaussianOrthogonalMatrixDistribution
- GaussianUnitaryMatrixDistribution
- GaussianSymplecticMatrixDistribution
- CircularRealMatrixDistribution
- CircularUnitaryMatrixDistribution
- CircularQuaternionMatrixDistribution
- CircularOrthogonalMatrixDistribution
- CircularSymplecticMatrixDistribution
- WignerSemicircleDistribution
- TracyWidomDistribution
- MarchenkoPasturDistribution
- MatrixPropertyDistribution
- NExpectation
- NProbability
