MATRIX-VARIATE GAUSS HYPERGEOMETRIC DISTRIBUTION

In this paper, we propose a matrix-variate generalization of the Gauss hypergeometric distribution and study several of its properties. We also derive probability density functions of the product of two independent random matrices when one of them is Gauss hypergeometric. These densities are expressed in terms of Appell's first hypergeometric function F-1 and Humbert's confluent hypergeometric function Phi(1) of matrix arguments.