Eigenvalue distributions of random unitary matrices
covariance matrixeigenvalue distributionHaar measurenormal distributionrandom unitary matrixToeplitz matrices
Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Toeplitz operators, Hankel operators, Wiener-Hopf operators (47B35) Probability measures on groups or semigroups, Fourier transforms, factorization (60B15) Central limit and other weak theorems (60F05)
The main result of the paper concerns the eigenvalue distribution of a \(n\times n\) random unitary matrix \(U\), chosen from the Haar measure, as \(n\to \infty\). Let \(I_1=(e^{i\alpha_1},e^{i\beta_1}),\ldots, I_m=(e^{i\alpha_m},e^{i\beta_m})\) be intervals on the unit circle, and let \(X_{nk}\) denote the number of eigenvalues of \(U\) in \(I_k\). Set \(Y_{nk}=\pi (\log n)^{-1/2}(X_{nk}-E[X_{nk}])\). The main theorem of the article states that \((Y_{n1},\ldots, Y_{nm})\) converges jointly in distribution to a normal distribution with a specified covariance matrix. The theorem is proven using the connection between Toeplitz matrices and random unitary matrices.
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