Suppose one is trying to devise a method to generate random matrices with a certain distribution. How does one verify that the generated matrices follow the desired distribution? In particular, I am interested in uniformly distributed random orthogonal matrices, but I am curious how people test their codes for correctness in general.
Verifying the distribution of an ensemble of random matrices
6
$\begingroup$
probability-theory
matrices
probability
1 Answers
1
In the following article, an experiment is devised to show that the distribution of the largest eigenvalue is given by the Tracy-Widom distribution. See section 10. Perhaps you could modify it.
-
1I fail to see what part of Sectio$n$ 10 is related to Victor's question and will be grateful if you provide some e$x$pla$n$ations. – 2011-03-26