Generalized heterogeneous hypergeometric functions and the distribution of the largest eigenvalue of an elliptical Wishart matrix

DOI10.1142/S2010326322500344MaRDI QIDQ5041687zbMATH OpenOpenAlexFDO

Authors Aya Shinozaki, Koki Shimizu, Hiroki Hashiguchi

Publication date 14 October 2022

Published in Random Matrices: Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2104.12552

zbMATH Keywords

hypergeometric functionssingular random matrixStiefel manifold

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10)

Abstract: In this study, we derive the exact distributions of eigenvalues of a singular Wishart matrix under an elliptical model. We define generalized heterogeneous hypergeometric functions with two matrix arguments and provide convergence conditions for these functions. The joint density of eigenvalues and the distribution function of the largest eigenvalue for a singular elliptical Wishart matrix are represented by these functions. Numerical computations for the distribution of the largest eigenvalue were conducted under the matrix-variate $t$ and Kotz-type models.

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Cited in

(6)

• Heterogeneous hypergeometric functions with two matrix arguments and the exact distribution of the largest eigenvalue of a singular beta-Wishart matrix
• A unified complex noncentral Wishart type distribution inspired by massive MIMO systems
• Algorithm for the product of Jack polynomials and its application to the sphericity test
• Distribution of the largest eigenvalue of an elliptical Wishart matrix and its simulation
• Functional form for the leading correction to the distribution of the largest eigenvalue in the GUE and LUE
• Expressing the largest eigenvalue of a singular beta F-matrix with heterogeneous hypergeometric functions

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