Heterogeneous hypergeometric functions with two matrix arguments and the exact distribution of the largest eigenvalue of a singular beta-Wishart matrix

This paper discusses certain properties of heterogeneous hypergeometric functions with two matrix arguments. These functions are newly defined but have already appeared in statistical literature and are useful when dealing with the derivation of certain distributions for the eigenvalues of singular...

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Bibliographic Details
Published inJournal of multivariate analysis Vol. 183; p. 104714
Main Authors Shimizu, Koki, Hashiguchi, Hiroki
Format Journal Article
LanguageEnglish
Published Elsevier Inc 01.05.2021
Subjects
Hypergeometric functions
Singular Wishart distribution
Stiefel manifold
secondary
Hypergeometric functions
Singular Wishart distribution
Stiefel manifold
primary
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Summary:This paper discusses certain properties of heterogeneous hypergeometric functions with two matrix arguments. These functions are newly defined but have already appeared in statistical literature and are useful when dealing with the derivation of certain distributions for the eigenvalues of singular beta-Wishart matrices. The joint density function of the eigenvalues and the distribution of the largest eigenvalue can be expressed in terms of heterogeneous hypergeometric functions. Exact computation of the distribution of the largest eigenvalue is conducted for real and complex cases.
ISSN:0047-259X
1095-7243
DOI:10.1016/j.jmva.2020.104714