Matrix Hermite polynomials, random determinants and the geometry of Gaussian fields

DOI10.5802/AHL.183MaRDI QIDQ6191444zbMATH OpenOpenAlexFDO

Authors Massimo Notarnicola

Publication date 7 March 2024

Published in Annales Henri Lebesgue (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2109.13749

zbMATH Keywords

arithmetic random wavesGaussian random matricesgeneralized Hermite polynomialsintrinsic and mixed volumeslimit theoremsWiener chaos expansionszonal polynomials

Mathematics Subject Classification ID

Asymptotic distributions of eigenvalues in context of PDEs (35P20) Spectral problems; spectral geometry; scattering theory on manifolds (58J50) Convergence of probability measures (60B10) Geometric probability and stochastic geometry (60D05) Random fields (60G60)

Abstract: We study generalized Hermite polynomials with rectangular matrix arguments arising in multivariate statistical analysis and the theory of zonal polynomials. We show that these are well-suited for expressing the Wiener-Ito chaos expansion of functionals of the spectral measure associated with Gaussian matrices. In particular, we obtain the Wiener chaos expansion of Gaussian determinants of the form $det(X{X}^T{)}^{1/2}$ and prove that, in the setting where the rows of $X$ are i.i.d. centred Gaussian vectors with a given covariance matrix, its projection coefficients admit a geometric interpretation in terms of intrinsic volumes of ellipsoids, thus extending the content of Kabluchko and Zaporozhets (2012) to arbitrary chaotic projection coefficients. Our proofs are based on a crucial relation between generalized Hermite polynomials and generalized Laguerre polynomials. In a second part, we introduce the matrix analog of the classical Mehler's formula for the Ornstein-Uhlenbeck semigroup and prove that matrix-variate Hermite polynomials are eigenfunctions of these operators. As a byproduct, we derive an orthogonality relation for Hermite polynomials evaluated at correlated Gaussian matrices. We apply our results to vectors of independent arithmetic random waves on the three-torus, proving in particular a CLT in the high-energy regime for a generalized notion of total variation on the full torus.

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