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Distributions of the extreme eigenvalues of beta-Jacobi random matrices. (English) Zbl 1158.15304

Summary: We present explicit formulas for the distributions of the extreme eigenvalues of the \(\beta \)-Jacobi random matrix ensemble in terms of the hypergeometric function of a matrix argument. For \(\beta =1,2,4,\) these formulas specialize to the well-known real, complex, and quaternion Jacobi ensembles, respectively.

MSC:

15B52 Random matrices (algebraic aspects)
60E05 Probability distributions: general theory
62H10 Multivariate distribution of statistics
65F15 Numerical computation of eigenvalues and eigenvectors of matrices
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