Multivariate normal approximation for traces of random unitary matrices

DOI10.1214/21-AOP1520MaRDI QIDQ2072086zbMATH OpenOpenAlexFDO

Authors Kurt Johansson, Gaultier Lambert

Publication date 1 February 2022

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2002.01879

zbMATH Keywords

Stein's methodToeplitz determinantunitary random matrixmultivariate Gaussian approximation

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05) Probability measures on groups or semigroups, Fourier transforms, factorization (60B15)

Abstract: In this article, we obtain a super-exponential rate of convergence in total variation between the traces of the first $m$ powers of an $nimesn$ random unitary matrices and a $2m$-dimensional Gaussian random variable. This generalizes previous results in the scalar case to the multivariate setting, and we also give the precise dependence on the dimensions $m$ and $n$ in the estimate with explicit constants. We are especially interested in the regime where $m$ grows with $n$ and our main result basically states that if $mllsqrtn$, then the rate of convergence in the Gaussian approximation is $Gamma(fracnm+1{)}^{-1}$ times a correction. We also show that the Gaussian approximation remains valid for all $mll{n}^{2/3}$ without a fast rate of convergence.

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Cited in

(15)

• Multivariate normal approximation for traces of orthogonal and symplectic matrices
• A Multilevel Approach to Variance Reduction in the Stochastic Estimation of the Trace of a Matrix
• Equidistribution of high traces of random matrices over finite fields and cancellation in character sums of high conductor
• Stein's method and the multivariate CLT for traces of powers on the compact classical groups
• Combinatorial aspects of Connes's embedding conjecture and asymptotic distribution of traces of products of unitaries
• Powers of large random unitary matrices and Toeplitz determinants
• Quantitative CLT for linear eigenvalue statistics of Wigner matrices
• On asymptotics of large Haar distributed unitary matrices
• From Berry-Esseen to super-exponential
• Truncations of Haar distributed matrices, traces and bivariate Brownian bridges
• A graphical calculus for integration over random diagonal unitary matrices
• Stein's method and central limit theorems for Haar distributed orthogonal matrices: some recent developments
• Rate of convergence of linear functions on the unitary group
• Truncations of random unitary matrices drawn from Hua-Pickrell distribution
• Strong Szegő theorem on a Jordan curve

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