An R implementation of the Spectrode method for computing the limit eigenvalue distribution of high-dimensional sample covariance matrices.
Please see the Examples folder for examples, and the Code folder for the main code.
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The method was proposed in the following paper Dobriban. E, Efficient Computation of Limit Spectra of Sample Covariance Matrices, Random Matrices: Theory Appl., 04, 1550019 (2015). http://arxiv.org/abs/1507.01649
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This package is work in progress. Suggestions and comments are welcome. A MATLAB version is also available https://github.com/dobriban/EigenEdge/. The latter is much more developed, and has a detailed documentation with examples. In time, this R package should have more functionality added.
We thank Haeran Cho for pointing out a typo in the code.