Determinantal formula for the largest-root distribution of non-central Wishart matrices

From papers

Let Rn,m(x,λ1,,λm){\mathcal R}_{n,m}(x,\lambda_1,\ldots,\lambda_m) denote the target function, and let Gn,m(x,y)G_{n,m}(x,y) be defined recursively by

Gn,2(x,y)=n0F1(;n;xy)+y0F1(;n+1;xy)+(xyn+1)eyyet0F1(;n+1;xt)dt,G_{n,2}(x,y)=n\,{}_0F_1(;n;xy)+y\,{}_0F_1(;n+1;xy)+(x-y-n+1)e^y\int_y^\infty e^{-t}{}_0F_1(;n+1;xt)\,dt,

and, for m2m\geq 2,

Gn,m+1(x,y)=(y2y2(nm+1)y+x+m)Gn,m(x,y).G_{n,m+1}(x,y)=\left(-y\frac{\partial^2}{\partial y^2}-(n-m+1)\frac{\partial}{\partial y}+x+m\right)G_{n,m}(x,y).

Determinantal formula. There is a function C(x)C(x) such that

Rn,m(x,λ1,,λm)=C(x)det(0F1(;nm+1;xλi)j=1Gnm+j,j(x,λi)j=2m),{\mathcal R}_{n,m}(x,\lambda_1,\ldots,\lambda_m)=C(x)\det\left(\begin{array}{cc}{}_0F_1(;n-m+1;x\lambda_i)&\rangle_{j=1}\\[2pt]G_{n-m+j,j}(x,\lambda_i)&\rangle_{j=2}^m\end{array}\right),

where

C(x)=(nm+1)xmn(m2)1emxk=1m(nk+1)k.C(x)=\frac{(n-m+1)x^{mn-\binom{m}{2}-1}e^{-mx}}{\prod_{k=1}^m(n-k+1)^k}.

The formula has been fully checked for m=2m=2 and m=3m=3, its front factor has been confirmed for m=4m=4, and it is also true for m=1m=1. Its significance is that it would exploit the factorization structure of the relevant holonomic system; the general formula beyond the checked cases remains conjectural.

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Sources & referencesView supporting material

Primary source

Raimundas Vidunas and Akimichi Takemura, “Differential relations for the largest root distribution of complex non-central Wishart matrices”, arXiv:1609.01799 (2016).

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