# 2009 年 12 月 29 日作成
# Type "lam<-simu.large.cov(1000,8,10)" for example
simu.large.cov<-function(rep.no,n,p){
  smaller<-min(n,p)
  lam<-matrix(rep(0,rep.no*smaller),rep.no,smaller)
  for (i in 1:rep.no){
    xw<-matrix(rep(0,n*p),n,p)
    for (j in 1:p){
      xw[,j]<-rnorm(n,0,1)
    }
    #xw
    w<-t(xw)%*%xw
    #w
    eigen.w<-eigen(w)
    #eigen.w
    eigenvalue<-c(eigen.w$values)/n
    lam[i,]<-eigenvalue[1:smaller]
  }
  return(lam)
}
# Drawing graphs of marginal density 
# Type " den.graph(lam,4,4)" for example
den.graph<-function(lam,hh,ww){
  plot(density(lam[,1]),xlim=c(0,ww),ylim=c(0,hh),xlab="",ylab="",main="density of eigenvalues of MLE")
  par(new=T)
  for (j in 2:smaller){
    par(new=T)
    plot(density(lam[,j]),xlim=c(0,ww),ylim=c(0,hh),xlab="",ylab="",col=j,main="")
  }
}