Laplace approximation for Bessel functions of matrix argument

DOI10.1016/S0377-0427(02)00874-9MaRDI QIDQ1811595zbMATH OpenFDO

Authors R. W. Butler, Andrew T. A. Wood

Publication date 17 June 2003

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0377-0427(02)00874-9

zbMATH Keywords

asymptotic approximationBessel functionconfluence relationshypergeometric functionLaplace approximation

Mathematics Subject Classification ID

Bessel and Airy functions, cylinder functions, ({}_0F_1) (33C10) Confluent hypergeometric functions, Whittaker functions, ({}_1F_1) (33C15) Numerical approximation and evaluation of special functions (33F05) Computation of special functions and constants, construction of tables (65D20)

Review text

The authors present Laplace approximations to Bessel functions of matrix argument and to the confluent type II matrix argument hypergeometric function. A collection of results concerning the theoretical properties of the various Laplace approximations is proved. In particular, it is shown that suitably calibrated versions of the approximations inherit the symmetries and confluence relations satisfied by the original functions. A series of tables with results of calculations is given.

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Cited in

(21)

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• On conjugate families and Jeffreys priors for von Mises-Fisher distributions
• Interacting diffusions on positive definite matrices
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• Conjugate priors and posterior inference for the matrix Langevin distribution on the Stiefel manifold
• Laplace approximation of Lauricella functions \(F_A\) and \(F_D\)
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• Matrix Whittaker processes
• Computing matrix functions using mixed interpolation methods
• Post-processing for Bayesian analysis of reduced rank regression models with orthonormality restrictions
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