TracyWidomDistribution

TracyWidomDistribution[β]

represents a TracyWidom distribution with Dyson index β.

Details

Examples

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Basic Examples  (4)

Probability density function:

Cumulative distribution function:

Mean and variance:

Median:

Scope  (4)

Generate a sample of pseudorandom numbers from a TracyWidom distribution:

Compare its histogram to the PDF:

Moments of TracyWidom distributions are not available in closed form:

Find their machineprecision approximation:

Compute the Mean of TracyWidom distribution to 50digit precision:

Hazard function:

Quantile function:

Applications  (4)

Use MatrixPropertyDistribution to represent the normalized largest eigenvalue of a matrix from Gaussian unitary ensemble:

Sample from MatrixPropertyDistribution:

Compare the histogram with the PDF:

Perform similar computations with Gaussian orthogonal ensemble and Gaussian symplectic ensemble:

Compare the histograms with the PDFs:

When n and p (the dimension of the covariance matrix Σ) are both large, the scaled largest eigenvalue of a matrix from Wishart ensemble with identity covariance is approximately distributed as TracyWidom distribution of :

Sample the scaled largest eigenvalue:

Compare the histogram of scaled largest eigenvalues with the PDF:

Compare the CDFs of TracyWidom distributions with the leading order asymptotic expansion on the left tail in log scale:

Define a function to find the length of LongestOrderedSequence in the given sequence:

Find lengths of the longest increasing subsequence in random permutations of list :

Compare the scaled length of the longest increasing subsequence with TracyWidom distribution of :

Properties & Relations  (2)

CDFs of TracyWidom distributions for different values of β are related to each other:

TracyWidom distributions can be well approximated by GammaDistribution in the central region:

Match GammaDistribution with TracyWidom distribution of with the first three moments:

Compare the PDFs between :

Compare the CDFs between in log scale:

Wolfram Research (2015), TracyWidomDistribution, Wolfram Language function, https://reference.wolfram.com/language/ref/TracyWidomDistribution.html.

Text

Wolfram Research (2015), TracyWidomDistribution, Wolfram Language function, https://reference.wolfram.com/language/ref/TracyWidomDistribution.html.

BibTeX

@misc{reference.wolfram_2021_tracywidomdistribution, author="Wolfram Research", title="{TracyWidomDistribution}", year="2015", howpublished="\url{https://reference.wolfram.com/language/ref/TracyWidomDistribution.html}", note=[Accessed: 18-October-2021 ]}

BibLaTeX

@online{reference.wolfram_2021_tracywidomdistribution, organization={Wolfram Research}, title={TracyWidomDistribution}, year={2015}, url={https://reference.wolfram.com/language/ref/TracyWidomDistribution.html}, note=[Accessed: 18-October-2021 ]}

CMS

Wolfram Language. 2015. "TracyWidomDistribution." Wolfram Language & System Documentation Center. Wolfram Research. https://reference.wolfram.com/language/ref/TracyWidomDistribution.html.

APA

Wolfram Language. (2015). TracyWidomDistribution. Wolfram Language & System Documentation Center. Retrieved from https://reference.wolfram.com/language/ref/TracyWidomDistribution.html