Bridges and random truncations of random matrices

DOI10.1142/S2010326314500063MaRDI QIDQ3191249zbMATH OpenFDO

Authors Vincent Beffara, Alain Rouault, Catherine Donati-Martin

Publication date 1 October 2014

Published in Random Matrices: Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1312.2382

zbMATH Keywords

bivariate Brownian bridgeorthogonal ensemblerandom matrixsubordinationunitary ensemble

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Functional limit theorems; invariance principles (60F17) Brownian motion (60J65)

Abstract: We continue to study the squared Frobenius norm of a submatrix of a $nimesn$ random unitary matrix. When the choice of the submatrix is deterministic and its size is $[ns]imes[nt]$, we proved in a previous paper that, after centering and without any rescaling, the two-parameter process converges in distribution to a bivariate Brownian bridge. Here, we consider Bernoulli independent choices of rows and columns with respective parameters $s$ and $t$. We prove by subordination that after centering and rescaling by $n^{-1/2}$, the process converges to another Gaussian process.

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Cited in

(4)

• A functional CLT for partial traces of random matrices
• Bridges with random length: gamma case
• Truncations of Haar distributed matrices, traces and bivariate Brownian bridges
• Truncation of Haar random matrices in \(\mathrm{GL}_N(\mathbb{Z}_m)\)

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