Re: [R] Random Matrix theory

[Spencer Graves]

     What kind of random matrices?  The following will produce a random 
orthogonal matrix.  I'm not certain of its distribution, but I think 
it's likely uniform:  I generate a matrix from rnorm(.., sd) and compute 
its singular value decomposition.  I think I saw someplace that the 
result should be essentially a random orthogonal matrix, but I'm not 
sure of that. 

rortho <- function(k=3, sd=100){
 a <- array(rnorm(k^2, sd=sd), dim=c(k,k))
 s1 <-  sample(c(-1,1), 3, replace=TRUE)
 s2 <-  sample(c(-1,1), 3, replace=TRUE)
 (s1*rep(s2, each=3)*svd(a)$u)
}
     hope this helps. 
     spencer graves

T. Murlidharan Nair wrote:
Any package that implements Random matrix theory  application in R.
I am completely new to this subject, so just wanted to explore it.
Cheers ../Murli
______________________________________________
R-help@stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide! 
http://www.R-project.org/posting-guide.html
______________________________________________
R-help@stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html