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rootWishartHD  

Exact and Log-Scale Tail Probabilities for Roy's Largest Root
View on CRAN: Click here


Download and install rootWishartHD package within the R console
Install from CRAN:
install.packages("rootWishartHD")

Install from Github:
library("remotes")
install_github("cran/rootWishartHD")

Install by package version:
library("remotes")
install_version("rootWishartHD", "0.95.2")



Attach the package and use:
library("rootWishartHD")
Maintained by
Stepan Grinek
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2026-07-16
Latest Update: 2026-07-16
Description:
Provides distribution functions and log-scale tail probabilities for Roy's largest root in single and double Wishart (Jacobi ensemble) settings. This package is derived from the 'rootWishart' package by Maxime Turgeon and extends it with numerically robust log-CDF/log-survival evaluation, tail-aware adaptive precision, and high-dimensional validation utilities, based on Chiani (2014) <doi:10.1016/j.jmva.2014.04.002> and Chiani (2016) <doi:10.1016/j.jmva.2015.10.007>.
How to cite:
Stepan Grinek (2026). rootWishartHD: Exact and Log-Scale Tail Probabilities for Roy's Largest Root. R package version 0.95.2, https://cran.r-project.org/web/packages/rootWishartHD. Accessed 25 Oct. 2026.
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