Wolfram Language & System 11.0 (2016)|Legacy Documentation
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represents a Tracy–Widom distribution with Dyson index β.
- The Tracy–Widom distribution is the limiting probability distribution of the normalized largest eigenvalue of a random matrix that belongs to a Gaussian ensemble.
- TracyWidomDistribution allows the Dyson index β to be 1, 2, or 4 according to the underlying matrix distribution:
GaussianOrthogonalMatrixDistribution β2 GaussianUnitaryMatrixDistribution β4 GaussianSymplecticMatrixDistribution
- TracyWidomDistribution can be used with such functions as Mean, CDF, and RandomVariate.
Introduced in 2015