Linear functions on the classical matrix groups

DOI10.1090/S0002-9947-08-04444-9MaRDI QIDQ3533836zbMATH OpenOpenAlexWikidataFDO

Authors Elizabeth Meckes

Publication date 24 October 2008

Published in Transactions of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0509441

zbMATH Keywords

normal approximationrandom matricesStein's method

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Convergence of probability measures (60B10) Probability measures on groups or semigroups, Fourier transforms, factorization (60B15) Central limit and other weak theorems (60F05)

Abstract: Let $M$ be a random matrix in the orthogonal group $O_n$, distributed according to Haar measure, and let $A$ be a fixed $nimesn$ matrix over $R$ such that $r(A{A}^t)=n$. Then the total variation distance of the random variable $r(AM)$ to standard normal is bounded by $2sqrt3/(n-1)$, and this rate is sharp up to the constant. Analogous results are obtained for $M$ a random unitary matrix and $A$ a fixed $nimesn$ matrix over $C$. The proofs are applications of a new abstract normal approximation theorem which extends Stein's method of exchangeable pairs to situations in which continuous symmetries are present.

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Cited in

(22)

• Asymptotic normality of the trace for a class of distributions on orthogonal matrices
• Euclidean distance between Haar orthogonal and Gaussian matrices
• Maxima of entries of Haar distributed matrices
• Stein's method, heat kernel, and linear functions on the orthogonal groups
• Total variation approximation of random orthogonal matrices by Gaussian matrices
• Random orthogonal matrices and the Cayley transform
• The central limit problem for random vectors with symmetries
• Central limit theorems for the Brownian motion on large unitary groups
• Hurwitz and the origins of random matrix theory in mathematics
• Rate of convergence of linear functions on the unitary group
• On the approximate normality of eigenfunctions of the Laplacian
• Distances between random orthogonal matrices and independent normals
• Convergence of moments of twisted COE matrices
• Fluctuations of the spectrum in rotationally invariant random matrix ensembles
• Random matrices with prescribed eigenvalues and expectation values for random quantum states
• High-dimensional random matrices from the classical matrix groups, and generalized hypergeometric functions of matrix argument
• Multivariate normal approximation for traces of orthogonal and symplectic matrices
• The entries of Haar-invariant matrices from the Classical compact groups
• From Berry-Esseen to super-exponential
• The von Neumann inequality for 3 3 matrices in the unit Euclidean ball
• The distribution of permutation matrix entries under randomized basis
• Stein's method and characters of compact Lie groups

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