Hypergeometric function of a matrix argument

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In mathematics, the hypergeometric function of a matrix argument is a generalization of the classical hypergeometric series. It is a function defined by an infinite summation which can be used to evaluate certain multivariate integrals.

Hypergeometric functions of a matrix argument have applications in random matrix theory. For example, the distributions of the extreme eigenvalues of random matrices are often expressed in terms of the hypergeometric function of a matrix argument.

Let and be integers, and let be an complex symmetric matrix. Then the hypergeometric function of a matrix argument and parameter is defined as

where means is a partition of , is the generalized Pochhammer symbol, and is the "C" normalization of the Jack function.

Two matrix arguments

If and are two complex symmetric matrices, then the hypergeometric function of two matrix arguments is defined as:

where is the identity matrix of size .

Not a typical function of a matrix argument

Unlike other functions of matrix argument, such as the matrix exponential, which are matrix-valued, the hypergeometric function of (one or two) matrix arguments is scalar-valued.

The parameter α

References

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