Exact simulation of the Marchenko-Pastur distribution

DOI10.1016/J.SPL.2025.110440MaRDI QIDQ6976960zbMATH OpenFDO

Authors Luc Devroye

Publication date 31 May 2025

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SPL.2025.110440

zbMATH Keywords

expected time analysisMarchenko-Pastur distributionMonte Carlo methodrandom variate generationsimulation

Mathematics Subject Classification ID

Pseudo-random numbers; Monte Carlo methods (11K45) Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10)

Cites work

• Differential operators and spectral distributions of invariant ensembles from the classical orthogonal polynomials. {T}he continuous case
• DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
• scientific article; zbMATH DE number 3954145 (Why is no real title available?)
• Spectral analysis of large dimensional random matrices

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