A multiple integral involving zonal polynomials.
\textit{Y. Chikuse} [Ann. Stat. 9, 401--407 (1981; Zbl 0496.62048), p. 402, equation (11)] evaluated the following integral associated with zonal polynomials of matrix argument in terms of zonal polynomials of two matrix arguments: \[ I=\int_0^X |R|^{t-m}|I-R|^{u-m}C_\lambda(AR)\,dR. \] In this paper, the authors evaluate the same integral in terms of zonal polynomial of a single argument in two different ways. One of the values of this integral obtained by the authors is given below: \[ I=|K|X|^t[C_\lambda I]^{-1}C_\lambda(A)\sum_{k=0}^\infty \frac{1}{(k)!}\sum_\theta\sum_\delta \frac{\Gamma_p((m-n,\theta)}{\Gamma_p(m-n)} g_{\theta,\lambda}^\delta \frac{\Gamma_p(t,\delta)\Gamma_p(m)}{\Gamma_p(t+m,\delta)}C_\delta(X), \] where \(g_{\theta,\lambda}^\delta\) is given by \(C_\theta(A)C_\lambda(A)=\sum_\delta g_{\theta,\lambda}^\delta C_\delta(A).\)
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