Heterogeneous hypergeometric functions with two matrix arguments and the exact distribution of the largest eigenvalue of a singular beta-Wishart matrix

2019/12/09 by Koki Shimizu, Shimizu, Koki, Hiroki Hashiguchi +1 · 1 citation
Mathematics · #Advanced Statistical Methods and Models #FOS: Mathematics #Morphological variations and asymmetry #Random Matrices and Applications #Statistics Theory (math.ST)

paper · pdf · doi:10.48550/arxiv.1912.03903

openalex publication_date 2019/12/09 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

This paper discusses certain properties of heterogeneous hypergeometric functions with two matrix arguments. These functions are newly defined but have already appeared in statistical literature and are useful when dealing with the derivation of certain distributions for the eigenvalues of singular beta-Wishart matrices. The joint density function of the eigenvalues and the distribution of the largest eigenvalue can be expressed in terms of certain heterogeneous hypergeometric functions. Exact computation of the distribution of the largest eigenvalue is conducted here for a real case.

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