High-dimensional random matrices from the classical matrix groups, and generalized hypergeometric functions of matrix argument (Q527579)

Summary: Results from the theory of the generalized hypergeometric functions of matrix argument, and the related zonal polynomials, are used to develop a new approach to study the asymptotic distributions of linear functions of uniformly distributed random matrices from the classical compact matrix groups. In particular, we provide a new approach for proving the following result of D'Aristotile, Diaconis, and Newman: Let the random matrix \(H_n\) be uniformly distributed according to Haar measure on the group of \(n\times n\) orthogonal matrices, and let \(A_n\) be a non-random \(n\times n\) real matrix such that \(\mathrm{tr }(A'_nA_n)=1\). Then, as \(n\to\infty\), \(\sqrt n\mathrm{ tr }A_nH_n\) converges in distribution to the standard normal distribution.