Second order freeness and fluctuations of random matrices. II: Unitary random matrices (Q864571)

It has been proved by Voiculescu (IMRN 1998) that if \(\{A_1,\ldots ,A_s\}_N\) and \(\{B_1,\ldots ,B_t\}_N\) are \(N\times N\) random matrices that have asymptotic \(*\)-distribution with respect to the normalized trace, and if the joint distribution of \(\{A_1,\ldots ,A_s,B_1,\ldots ,B_t\}_N\) is the same as \(\{A_1,\ldots ,A_s,UB_1U^*,\ldots ,UB_tU^*\}_N\) for all unitary matrices \(U\), then \(\{A_1,\ldots ,A_s\}_N\) and \(\{B_1,\ldots ,B_t\}_N\) are almost surely asymptotically free families. In JFA 2006, Mingo and Speicher introduced the notion of second order freeness, whose purpose is to encompass combinatorial structure of typical fluctuation of random matrices. The main result of this paper is that under the same above conditions, the families \(\{A_1,\ldots ,A_s\}_N\) and \(\{B_1,\ldots ,B_t\}_N\) are also second order free. This allows in particular to prove that for any non-commutative polynomial \(P\) the sequence of centered random variables \[ Tr(P(A_i,B_j))_N-E(Tr(P(A_i,B_j))_N) \] is asymptotically gaussian, and to compute the asymptotic covariance between such random matrices. This result has application in proving generalization of Diaconis-Shahshahani type results and disproving universality of global fluctuation of traces results.