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Relations between generalised Wishart matrices, the Muttalib–Borodin model and matrix spherical functions

Peter J. Forrester

Vol. 6 (2024), No. 3, 571–588
Abstract

Generalised uncorrelated Wishart matrices are formed out of rectangular standard Gaussian data matrices with a certain pattern of zero entries. Development of the theory in the real and complex cases has proceeded along separate lines. For example, emphasis in the real case has been placed on the Bellman and Riesz distributions, while the complex case has been shown to be closely related to the Muttalib–Borodin model. In this work, as well as uniting the lines of development, a tie-in with matrix spherical functions is identified in the context of deducing the eigenvalue probability density function from the joint element probability density function.

Keywords
Wishart matrices, Muttalib–Borodin model, matrix spherical functions
Mathematical Subject Classification
Primary: 15B52, 44A20, 62H10
Milestones
Received: 28 November 2023
Accepted: 28 February 2024
Published: 30 September 2024
Authors
Peter J. Forrester
Department of Mathematics and Statistics
The University of Melbourne
Parkville
Australia