What kind of random matrices? The following will produce a random
orthogonal matrix. I'm not certain of its distribution, but I think
it's likely uniform: I generate a matrix from rnorm(.., sd) and compute
its singular value decomposition. I think I saw someplace that the
result should be essentially a random orthogonal matrix, but I'm not
sure of that.
rortho <- function(k=3, sd=100){
a <- array(rnorm(k^2, sd=sd), dim=c(k,k))
s1 <- sample(c(-1,1), 3, replace=TRUE)
s2 <- sample(c(-1,1), 3, replace=TRUE)
(s1*rep(s2, each=3)*svd(a)$u)
}
hope this helps.
spencer graves
T. Murlidharan Nair wrote:
> Any package that implements Random matrix theory application in R.
> I am completely new to this subject, so just wanted to explore it.
> Cheers ../Murli
>
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