A fundamental property of zonal polynomials

吴炳洋

已于 2022-02-20 14:32:28 修改

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文章标签：数字通信矩阵统计学

于 2022-02-20 14:30:44 首次发布

本文链接：https://blog.csdn.net/wubyatseu/article/details/123030048

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If $\large \mathrm X_1$ is a positive definite $\large m\times m$ matrix and $\large \mathrm X_2$ , is a symmetric $\large m\times m$ matrix, then

$\large \int _{O(m)}C_\kappa(X_1HX_2H')dH=\frac{C_\kappa(X_1)C_\kappa(X_2)}{C_\kappa(I_m)}$ (1)

where ( $\large d\mathrm H$ ) is the normalized invariant measure on $\large \mathrm O(m)$ .

Proof. Consider the integral on the left side of (1) as a function of $\large \mathrm X_2$ , say, $\large f_\kappa (\mathrm X_2)$ .

$f_\kappa (X_2) =\int _{O(m)}C_\kappa(X_1HX_2H')dH$ (2)

Apply the differential operator $\large \Delta _{X_2}^*$ to $\large f_\kappa (\mathrm X_2)$ . This gives

$\large \begin{align*} \Delta _{X_2}^*f_\kappa (X_2) &=\int _{O(m)}\Delta _{X_2}^*C_\kappa(X_1HX_2H')dH\\ &=\int _{O(m)}\Delta _{X_2}^*C_\kappa(X_1^{1/2}HX_2H'X_1^{1/2})dH\\ &=\int _{O(m)}\Delta _{X_2}^*C_\kappa(LX_2L')dH\\ \end{align*}$

where $\large L=X_1^{1/2}H$ . Using the invariance of the operator $\large \Delta ^*$ , this is the same as

$\large \begin{align*} \Delta _{X_2}^*f_\kappa (X_2) &=\int _{O(m)}\Delta _{LX_2L'}^*C_\kappa(LX_2L')dH\\ &=\left [ \rho_\kappa+\frac{1}{2}k(m+1) \right ]\int _{O(m)}C_\kappa(LX_2L')dH\\ &=\left [ \rho_\kappa+\frac{1}{2}k(m+1) \right ]f_\kappa (X_2) \end{align*}$

By definition, $\large f_\kappa (\mathrm X_2)$ must then be a multiple of the zonal polynomial $\large C_\kappa (\mathrm X_2)$ .

$\large f_\kappa (\mathrm X_2)=\lambda C _\kappa (\mathrm X_2)$ .

Putting $\large X_2=I_m$ , and using the fact that $\large f_\kappa (\mathrm I_m)=C_\kappa (\mathrm X_1)$ according to (2) shows that

$\large f_\kappa (\mathrm I_m)=\lambda C _\kappa (\mathrm I_m)= {C _\kappa (\mathrm X_1)}\Rightarrow \lambda= \frac{C _\kappa (\mathrm X_1)}{C _\kappa (\mathrm I_m)}$

So, (1) is proved.

This is Theorem 7.2.5 in Aspects of multivariate statistical theory, the theorem plays a vital role in the evaluation of many integrals involving zonal polynomials.

吴炳洋

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A fundamental property of zonal polynomials

The theorem plays a vital role in the evaluation of many integrals involving zonal polynomials.
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