Matrix measures, random moments, and Gaussian ensembles

DOI10.1007/S10959-011-0370-7MaRDI QIDQ2428533zbMATH OpenOpenAlexFDO

Authors Jan Nagel, Holger Dette

Publication date 26 April 2012

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0904.3847

zbMATH Keywords

canonical momentsGaussian ensembleJacobi ensemblematrix measuresmultivariate Beta distributionrandom matrix

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Moment problems and interpolation problems in the complex plane (30E05) Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05)

Abstract: We consider the moment space $mathcal{M}_n$ corresponding to $pimesp$ real or complex matrix measures defined on the interval $[0,1]$. The asymptotic properties of the first $k$ components of a uniformly distributed vector $(S_{1,n},\mathrm{...},S_{n,n}{)}^{\ast }simmathcalU(mathcal{M}_n)$ are studied if $noinfty$. In particular, it is shown that an appropriately centered and standardized version of the vector $(S_{1,n},\mathrm{...},S_{k,n}{)}^{\ast }$ converges weakly to a vector of $k$ independent $pimesp$ Gaussian ensembles. For the proof of our results we use some new relations between ordinary moments and canonical moments of matrix measures which are of their own interest. In particular, it is shown that the first $k$ canonical moments corresponding to the uniform distribution on the real or complex moment space $mathcal{M}_n$ are independent multivariate Beta distributed random variables and that each of these random variables converge in distribution (if the parameters converge to infinity) to the Gaussian orthogonal ensemble or to the Gaussian unitary ensemble, respectively.

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Cited in

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• Determinants of block Hankel matrices for random matrix-valued measures
• Estimates for moments of random matrices with Gaussian elements
• Distributions on matrix moment spaces
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• Operator-valued spectral measures and large deviations
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• Gaussian diagrammatics from circular ensembles of random matrices
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• A normal limit theorem for moment sequences
• Distributions on unbounded moment spaces and random moment sequences
• Meixner matrix ensembles

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