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

multivariate Gaussian approximationStein's methodToeplitz determinantunitary random matrix

Mathematics Subject Classification ID

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

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.

Review text

This paper studies the convergence of the real and imaginary part of the traces of the first \(m\) powers of a random unitary \(n\times n\) matrix as \(n\) and \(m\) tend to infinity, and when the unitary matrix is distributed according to the Haar measure. For fixed \(m\), it is known that the limit distribution is a multivariate Gaussian distribution, see, e.g., [\textit{P. Diaconis} and \textit{M. Shahshahani}, J. Appl. Probab. 31A, 49--62 (1994; Zbl 0807.15015)], and that in the total variation distance this convergence is superexponentially fast, see [\textit{K. Johansson}, Ann. Math. (2) 145, No. 3, 519--545 (1997; Zbl 0883.60010)]. In the present paper the parameter \(m\) is allowed to tend to infinity almost as \(\sqrt{n}\), and explicit estimates for the total variation distance and also the Kantorovich-Wasserstein distance are given. Roughly speaking, it is shown that for \(m\ll \sqrt{n}\) the order of convergence of the traces to a multivariate Gaussian is \(\Gamma\left(\frac{n}{m}+1\right)^{-1}\) times a correction. The methods of the proof include formulae for the Toeplitz determinants, change of variables, and Stein's method. A special merit of the work is that the authors kept explicitly track of the constants and the dependence on \(m\).

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Cited in

(17)

• A graphical calculus for integration over random diagonal unitary matrices
• On asymptotics of large Haar distributed unitary matrices
• Truncations of random unitary matrices drawn from Hua-Pickrell distribution
• Stein's method and central limit theorems for Haar distributed orthogonal matrices: some recent developments
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• A Multilevel Approach to Variance Reduction in the Stochastic Estimation of the Trace of a Matrix
• Strong Szegő theorem on a Jordan curve
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• From Berry-Esseen to super-exponential
• Equidistribution of high traces of random matrices over finite fields and cancellation in character sums of high conductor
• CLT for -ensembles at high temperature and for integrable systems: a transfer operator approach
• A refined random matrix model for function field L-functions

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