Matrix-variate Gauss Hypergeometric Distribution
نویسندگان
چکیده
In this paper, we propose a matrix-variate generalization of the Gauss hypergeometric distribution and study several of its properties. We also derive probability density functions of the product of two independent random matrices when one of them is Gauss hypergeometric. These densities are expressed in terms of Appell’s first hypergeometric function F1 and Humbert’s confluent hypergeometric function Φ1 of matrix arguments. 2010 Mathematics subject classification: primary 62H99; secondary 62E15.
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The hypergeometric differential equation was found by Euler [Euler, L. (1769) Opera Omnia Ser. 1, 11-13] and was extensively studied by Gauss [Gauss, C. F. (1812) Comm. Soc. Reg. Sci. II 3, 123-162], Kummer [Kummer, E. J. (1836) Riene Ang. Math. 15, 39-83; Kummer, E. J. (1836) Riene Ang. Math. 15, 127-172], and Riemann [Riemann, B. (1857) K. Gess. Wiss. 7, 1-24]. The hypergeometric function kno...
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