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

Koki Shimizu and Hiroki Hashiguchi

Journal of Multivariate Analysis, 2021, vol. 183, issue C

Abstract: 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.

Keywords: Hypergeometric functions; Singular Wishart distribution; Stiefel manifold (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1016/j.jmva.2020.104714

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