Marchenko-Pastur分布的精确模拟

IF 0.9 4区数学 Q3 STATISTICS & PROBABILITY

Statistics & Probability Letters Pub Date : 2025-04-26 DOI:10.1016/j.spl.2025.110440

Luc Devroye

引用次数: 0

摘要

Marchenko - Pastur定律（Marchenko and Pastur, 1967）描述了大矩形矩阵特征值的极限定律。我们给出了两个有效的算法来模拟这个分布中的随机变量。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Exact simulation of the Marchenko–Pastur distribution

The Marchenko–Pastur law (Marchenko and Pastur, 1967) describes the limit law of eigenvalues of large rectangular matrices. We give two efficient algorithms for simulating random variables from this distribution.

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来源期刊

Statistics & Probability Letters 数学-统计学与概率论

CiteScore

1.60

自引率

0.00%

发文量

173

审稿时长

6 months

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