Borel theorems for random matrices from the classical compact symmetric spaces (Q2427051): Difference between revisions

The paper deals with Borel theorems for random matrices. The authors study random vectors of the form \[ (\text{Tr}(A^{(1)}V), \text{Tr}(A^{(2)}V), \ldots, \text{Tr}(A^{(r)}V)), \] where \(V\) is a uniformly distributed element of a matrix version of a classical compact symmetric space, and \(A^{(i)}\), \(i=1,2,\dots,r\), are deterministic parameter matrices. They show that for increasing matrix sizes these random vectors converge to a joint Gaussian limit, and compute its covariances. This generalizes previous results of \textit{P. Diaconis} and \textit{S. N. Evans} [Trans. Am. Math. Soc. 353, No. 7, 2615--2633 (2001; Zbl 1008.15013)] for Haar distributed matrices from the classical compact groups. The authors review the extended Wick calculus and explain its connection with the Diaconis-Shahshahani integral [\textit{P. Diaconis} and \textit{M. Shahshahani}, Applied Probability Trust, 49--62 (1954; Zbl 0807.15015)]. The proof of the main results uses these tools and the integration formulas, due to \textit{B. Collins} and \textit{P. Ṡniady} [Commun. Math. Phys. 264, No. 3, 773--795 (2006; Zbl 1108.60004)], for polynomial functions on the classical compact groups.