A generalization of random matrix ensemble. I: General theory (Q996148): Difference between revisions

The authors develop a simple formula that yields the joint density function for the eigenvalue distribution of generalized random matrix ensembles. This formula involves an easily computable constant for each random matrix ensemble and the determinant of a differential map of a linear subspace of the associated Lie algebra to the tangent space of a related orbit. The sections define generalized matrix ensembles other than the classical ones and derive integration formulas over G-space that allow integration over these ensembles to compute probability measures. Specific ensemble results are also discussed. However, no examples or connections to standard matrix sets and classes as occur in theoretical or numerical matrix theory are given for the studied ensembles.