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A random matrix is a matrix whose entries consist of random variables from some specified distribution. Random matrices have many modern applications in physics, finance, statistics and numerical analysis.

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PCA with covariance matrix calculated using random matrix theory in R

Take a look at the tawny package. I don't think it has a function to do just plain PCA with the random matrix theory covariance matrix, but you might be able to find the code to generate the relevant …
Gavin Simpson's user avatar