The efficient evaluation of the hypergeometric function of a matrix argument

DOI10.1090/S0025-5718-06-01824-2MaRDI QIDQ78925zbMATH OpenFDO

Authors Plamen Koev, Alan Edelman

Publication date 19 January 2006

Published in Mathematics of Computation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0505344

zbMATH Keywords

computational complexityGeneralized hypergeometric functionsJack functions

Mathematics Subject Classification ID

Enumerative combinatorics (05A99) Generalized hypergeometric series, ({}_pF_q) (33C20) Numerical summation of series (65B10)

Abstract: We present new algorithms that efficiently approximate the hypergeometric function of a matrix argument through its expansion as a series of Jack functions. Our algorithms exploit the combinatorial properties of the Jack function, and have complexity that is only linear in the size of the matrix.

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Cited in

(93)

• Multivariate analysis and Jacobi ensembles: largest eigenvalue, Tracy-Widom limits and rates of convergence
• Noncentral elliptical configuration density
• Complex bimatrix variate generalised beta distributions
• Approximation of hypergeometric functions with matricial argument through their development in series of zonal polynomials
• Properties of matrix variate confluent hypergeometric function distribution
• On the domain of attraction of a Tracy-Widom law with applications to testing multiple largest roots
• Distribution of the ratio of two Wishart matrices and cumulative probability evaluation by the holonomic gradient method
• Extended matrix variate hypergeometric functions and matrix variate distributions
• Recursion for the smallest eigenvalue density of \(\beta \)-Wishart-Laguerre ensemble
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• Exact distribution of the non-central Wilks's statistic of the second kind
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• Random triangle theory with geometry and applications
• Some comments on zonal polynomials and their expected values with respect to elliptical distributions
• Singular matrix variate beta distribution
• Wishart and pseudo-Wishart distributions under elliptical laws and related distributions in the shape theory context
• The distribution of the non-central Wilks statistic in the complex case
• The generalized Pascal triangle and the matrix variate Jensen-logistic distribution
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• Bimatrix variate beta type IV distribution: relation to Wilks's statistic and bimatrix variate Kummer-beta type IV distribution
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• scientific article; zbMATH DE number 3843068 (Why is no real title available?)
• Selberg integrals, super-hypergeometric functions and applications to -ensembles of random matrices
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• Matrix calculus and related hypergeometric functions
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• The beta-Wishart ensemble
• Detection of weak signals in high-dimensional complex-valued data
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• On Wishart distribution: some extensions
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• The densities and distributions of the largest eigenvalue and the trace of a beta-Wishart matrix
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• Expressing the largest eigenvalue of a singular beta F-matrix with heterogeneous hypergeometric functions
• Stochastic modeling of the Ogden class of stored energy functions for hyperelastic materials: the compressible case
• Distribution approximation of covariance matrix eigenvalues
• Exact expressions and numerical evaluation of average evolvability measures for characterizing and comparing \(\mathbf{G}\) matrices
• Exact nonnull distribution of Wilks' statistic: The ratio and product of independent components
• Extreme eigenvalue distributions of some complex correlated non-central Wishart and gamma-Wishart random matrices
• Statistical theory of shape under elliptical models and singular value decompositions
• Learning linear optical circuits with coherent states
• The Generalized Conditional Autoregressive Wishart Model for Multivariate Realized Volatility
• A novel two-sample test within the space of symmetric positive definite matrix distributions and its application in finance
• Extreme eigenvalues of random matrices from Jacobi ensembles
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• HypergeoMat
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Describes a project that uses

Uses Software

• Matlab

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