On asymptotics of large Haar distributed unitary matrices

DOI10.1023/B:MAHU.0000040542.56072.ABzbMATH Open1092.15021arXivmath/0310338MaRDI QIDQ2494429FDOQ2494429

Authors: Júlia Réffy, Dénes Petz 

Publication date: 27 June 2006

Published in: Periodica Mathematica Hungarica (Search for Journal in Brave)

Abstract: Let $U_n$ be an $nimesn$ Haar unitary matrix. In this paper, the asymptotic normality and independence of $Tr{U}_n,Tr{U}_n^2,\mathrm{...},Tr{U}_n^k$ are shown by using elementary methods. More generally, it is shown that the renormalized truncated Haar unitaries converge to a Gaussian random matrix in distribution.

Full work available at URL: https://arxiv.org/abs/math/0310338

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zbMATH Keywords

method of momentsGaussian random matrixjoint eigenvalue distributionHaar unitary matrixtrace of powers

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random operators and equations (aspects of stochastic analysis) (60H25)

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