https://github.com/yymao/tracywidom

Generate the Tracy-Widom distribution functions for beta = 1, 2, or 4 in Python
https://github.com/yymao/tracywidom

probability-distribution python random-matrix-theory tracy-widom

Last synced: 7 months ago
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Generate the Tracy-Widom distribution functions for beta = 1, 2, or 4 in Python

• Host: GitHub
• URL: https://github.com/yymao/tracywidom
• Owner: yymao
• License: mit
• Created: 2021-01-01T20:09:26.000Z (about 5 years ago)
• Default Branch: main
• Last Pushed: 2025-03-15T21:37:13.000Z (10 months ago)
• Last Synced: 2025-06-17T21:23:39.187Z (7 months ago)
• Topics: probability-distribution, python, random-matrix-theory, tracy-widom
• Language: Python
• Homepage:
• Size: 37.1 KB
• Stars: 10
• Watchers: 5
• Forks: 2
• Open Issues: 0
• Metadata Files:
  • Readme: README.md
  • License: LICENSE

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README

          
# TracyWidom

[![Conda Version](https://img.shields.io/conda/vn/conda-forge/tracywidom.svg)](https://anaconda.org/conda-forge/tracywidom)

[![PyPI Version](https://img.shields.io/pypi/v/TracyWidom.svg)](https://pypi.python.org/pypi/TracyWidom)

Providing the Tracy-Widom distribution functions for beta = 1, 2, or 4 in Python.

This package uses the interpolation tables in 

- Bejan, Andrei Iu. (2005), Largest eigenvalues and sample covariance matrices. Tracy–Widom and Painleve II: Computational aspects and realization in S-Plus with applications, M.Sc. dissertation, Department of Statistics, The University of Warwick.

and the asymptotics in

- Borot, Gaëtan and Nadal, Céline (2012), Right tail expansion of Tracy-Widom beta laws, Random Matrices: Theory and Applications Vol. 01, No. 03, 1250006. ([arXiv:1111.2761](https://arxiv.org/abs/1111.2761))

This package is MIT licensed. If you use this package in your work, please consider citing the above publications and listing the URL of this package (`https://github.com/yymao/TracyWidom/`). 

## Installation

You can install `tracywidom` via conda or pip:

```bash

# Install via conda with the conda-forge channel

conda install tracywidom --channel conda-forge

# Or, install via pip

pip install tracywidom

```

## Example

Here's an example of using the `TracyWidom` package.

```python

import numpy as np

from TracyWidom import TracyWidom

x = np.linspace(-10, 10, 101)

tw1 = TracyWidom(beta=1)  # allowed beta values are 1, 2, and 4

pdf = tw1.pdf(x)

cdf = tw1.cdf(x)

r = np.random.rand(1000)

tw1_sample = tw1.cdfinv(r)

```