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35 Functions of Matrix ArgumentApplications

§35.9 Applications

In multivariate statistical analysis based on the multivariate normal distribution, the probability density functions of many random matrices are expressible in terms of generalized hypergeometric functions of matrix argument Fqp, with p2 and q1. See James (1964), Muirhead (1982), Takemura (1984), Farrell (1985), and Chikuse (2003) for extensive treatments.

For other statistical applications of Fqp functions of matrix argument see Perlman and Olkin (1980), Groeneboom and Truax (2000), Bhaumik and Sarkar (2002), Richards (2004) (monotonicity of power functions of multivariate statistical test criteria), Bingham et al. (1992) (Procrustes analysis), and Phillips (1986) (exact distributions of statistical test criteria). These references all use results related to the integral formulas (35.4.7) and (35.5.8).

For applications of the integral representation (35.5.3) see McFarland and Richards (2001, 2002) (statistical estimation of misclassification probabilities for discriminating between multivariate normal populations). The asymptotic approximations of §35.7(iv) are applied in numerous statistical contexts in Butler and Wood (2002).

In chemistry, Wei and Eichinger (1993) expresses the probability density functions of macromolecules in terms of generalized hypergeometric functions of matrix argument, and develop asymptotic approximations for these density functions.

In the nascent area of applications of zonal polynomials to the limiting probability distributions of symmetric random matrices, one of the most comprehensive accounts is Rains (1998).