Relations between generalised Wishart matrices, the Muttalib-Borodin model and matrix spherical functions
type: Item
instance of: scholarly article
title: Relations between generalised Wishart matrices, the Muttalib-Borodin model and matrix spherical functions
author: Peter J. Forrester
published in: Tunisian Journal of Mathematics
publication date: 2024-11-01T00:00:00Z
review text: Generalised uncorrelated Wishart matrices are formed out of rectangular standard Gaussian data matrices with a certain pattern of zero entries. The development of the theory in the real and complex cases has been done separately. In the real case the contributions have emphasized on the Bellman and Riesz distributions, while the complex case they are closely related to the Muttalib-Borodin model.\N\NIn the first situation, let consider the probability density function (PDF) on the space of real positive definite matrices\N\[\N\frac{1}{\mathcal{N}^{(1)}_{N}(\alpha)} q^{(1)}_{\alpha}(W^{(1)}) \exp (- \mathrm{Trace} (W^{(1)}) /2) \chi_{W^{(1)}>0} \tag{1}.\N\]\NHere \(\mathcal{N}^{(1)}_{N}(\alpha)\) and \(q^{(1)}_{\alpha} \) are real numbers associated with \(W^{(1)}\) and \(\alpha=(\alpha_{1}, \dots, \alpha_{N}),\alpha_{i} >-1, i=1, 2, \dots, N.\) For notational purposes \(\chi_{A} =1\) for \(A\) true and \(\chi_{A}=0,\) otherwise,\N\NLet \(Y^{(1)}\) be a real upper triangular \(N \times N\) random matrix with diagonal entries distributed by the requirement that its square has distribution \(\Gamma[1/2 (\alpha_{k} +1), 1/2], \alpha_{k} >-1,\) while its strictly upper triangular entries are distributed as standard real Gaussians. The joint element PDF of \(W^{(1)}=Y^{{(1)}^T}Y^{(1)}\) is then as in (1). Alternatively, with \(n, n > N, \) a positive integer, let assume the nonnegative integer numbers \(\alpha_{i}\) satisfy \(\alpha_{1} +1 \leq \alpha_{2} +2 \leq \alpha_{N}+N <n, ~~(2), \) and introduce the \(n \times N\) rectangular random matrices \(\tilde{Y}^{(1)}\) with the requirement that \(\tilde{Y}^{(1)}_{j,k}=0, j> k + \alpha_{k},\) as well as the other entries not prescribed to equal zero be independent standard real Gaussians. The joint element PDF of the positive definite random matrix \(\tilde{W}^{(1)}=\tilde{Y}^{{(1)}^T}\tilde{Y}^{(1)}\) is then as in (1), see [\textit{E. Veleva}, ``Stochastic representations of the Bellman gamma distribution'', in: Proceedi…
reviewed by: Francisco Marcellán
Mathematics Subject Classification ID: 15B52
Mathematics Subject Classification ID: 60B20
Mathematics Subject Classification ID: 15A16
Mathematics Subject Classification ID: 15A15
zbMATH DE Number: 7937666
zbMATH Keywords: Wishart matrices
zbMATH Keywords: Muttalib-Borodin model
zbMATH Keywords: matrix spherical functions
MaRDI profile type: MaRDI publication profile
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DOI: 10.2140/TUNIS.2024.6.571
description: scientific article; zbMATH DE number 7937666