The Beta-MANOVA Ensemble with General Covariance

Abstract

We find the joint generalized singular value distribution and largest generalized singular value distributions of the $β$-MANOVA ensemble with positive diagonal covariance, which is general. This has been done for the continuous $β> 0$ case for identity covariance (in eigenvalue form), and by setting the covariance to $I$ in our model we get another version. For the diagonal covariance case, it has only been done for $β= 1,2,4$ cases (real, complex, and quaternion matrix entries). This is in a way the first second-order $β$-ensemble, since the sampler for the generalized singular values of the $β$-MANOVA with diagonal covariance calls the sampler for the eigenvalues of the $β$-Wishart with diagonal covariance of Forrester and Dubbs-Edelman-Koev-Venkataramana. We use a conjecture of MacDonald proven by Baker and Forrester concerning an integral of a hypergeometric function and a theorem of Kaneko concerning an integral of Jack polynomials to derive our generalized singular value distributions. In addition we use many identities from Forrester's {\it Log-Gases and Random Matrices}. We supply numerical evidence that our theorems are correct.