Central limit theorem for the heat kernel measure on the unitary group (Q609350): Difference between revisions

The authors prove that, for a finite collection of real-valued functions \(f_1,\dots ,f_n\) on the group of complex numbers of modulus 1 which are differentiable with Lipschitz continuous derivative, the distribution of \((\operatorname{tr}f_1, \dots,\operatorname{tr}f_n\)) under a properly scaled heat kernel measure at a given time on the unitary group \(U(N)\) has Gaussian fluctuations as \(N\) tends to infinity, with a covariance for which they give a formula and which is of order \(N^{-1}\). In the limit where the time tends to infinity, they also prove that this covariance converges to that obtained by \textit{P. Diaconis} and \textit{S. N. Evans} in a previous work on uniformly distributed unitary matrices [Trans. Am. Math. Soc. 353, No.~7, 2615--2633 (2001; Zbl 1008.15013)]. Finally, the authors discuss some combinatorial aspects of their results.