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, 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

(86)

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• Inference in affine shape theory under elliptical models
• Statistical theory of shape under elliptical models and singular value decompositions
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• Recursion for the smallest eigenvalue density of \(\beta \)-Wishart-Laguerre ensemble
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• Learning linear optical circuits with coherent states
• On computing Schur functions and series thereof
• Multivariate analysis and Jacobi ensembles: largest eigenvalue, Tracy-Widom limits and rates of convergence
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• On the domain of attraction of a Tracy-Widom law with applications to testing multiple largest roots
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• Exact expressions and numerical evaluation of average evolvability measures for characterizing and comparing \(\mathbf{G}\) matrices
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• PROPERTIES OF THE INVERSE OF A NONCENTRAL WISHART MATRIX
• A GENERALIZED WISHART DISTRIBUTION: MATRIX VARIATE VARMA TRANSFORM
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• Detection of weak signals in high-dimensional complex-valued data
• HypergeoMat
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• Appell's hypergeometric functions of matrix arguments
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• On generalized Wishart distributions. II: Sphericity test
• Distribution approximation of covariance matrix eigenvalues
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• The distribution of the non-central Wilks statistic in the complex case
• Eigenvalue distributions of beta-Wishart matrices
• Exact distributions of two non-central generalized Wilks's statistics
• Compact smallest eigenvalue expressions in Wishart-Laguerre ensembles with or without a fixed trace
• A general Bayesian estimation method of linear-bilinear models applied to plant breeding trials with genotype \(\times\) environment interaction
• Asymptotics for products of characteristic polynomials in classical \(\beta\)-ensembles
• Accurate and efficient evaluation of Schur and Jack functions
• Post-processing for Bayesian analysis of reduced rank regression models with orthonormality restrictions
• The affinely invariant distance correlation
• Representation computation for the hypergeometric function of a Hermitian matrix argument
• The singular values of the gue (less is more)
• Statistical theory of shape under elliptical models via polar decompositions
• Polynomial Eulerian shape distributions
• On the largest principal angle between random subspaces
• Generalised shape theory via pseudo-Wishart distribution
• The densities and distributions of the largest eigenvalue and the trace of a beta-Wishart matrix
• Expressing the largest eigenvalue of a singular beta F-matrix with heterogeneous hypergeometric functions
• The beta-Wishart ensemble
• On the marginal distribution of the diagonal blocks in a blocked Wishart random matrix
• ON SELBERG-TYPE SQUARE MATRICES INTEGRALS
• Noncentral elliptical configuration density
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Uses Software

• Matlab

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