From Berry-Esseen to super-exponential

DOI10.1214/23-EJP1068arXiv2204.03282OpenAlexW4390988379MaRDI QIDQ6186449FDOQ6186449

Authors: Klara Courteaut, Kurt Johansson, Gaultier Lambert 

Publication date: 2 February 2024

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: For any integer $m<n$, where $m$ can depend on $n$, we study the rate of convergence of $frac1sqrtmmathrmTrmathbf{U}^m$ to its limiting Gaussian as $noinfty$ for orthogonal, unitary and symplectic Haar distributed random matrices $mathbfU$ of size $n$. In the unitary case, we prove that the total variation distance is less than $Gamma(lfloorn/mfloor+2{)}^{-1}{m}^{-lfloorn/mfloor}lfloorn/mfloo{r}^{1/4}sqrtlogn$ times a constant. This result interpolates between the super-exponential bound obtained for fixed $m$ and the $1/n$ bound coming from the Berry-Esseen theorem applicable when $mgen$ by a result of Rains. We obtain analogous results for the orthogonal and symplectic groups. In these cases, our total variation upper bound takes the form $Gamma(2lfloorn/mfloor+1{)}^{-1/2}{m}^{-lfloorn/mfloor+1}(logn{)}^{1/4}$ times a constant and the result holds provided $ngeq2m$. For $m=1$, we obtain complementary lower bounds and precise asymptotics for the $L^2$-distances as $noinfty$, which show how sharp our results are.

Full work available at URL: https://arxiv.org/abs/2204.03282

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zbMATH Keywords

rate of convergenceHankel determinantsToeplitz determinantsHaar measureclassical compact groups

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Toeplitz operators, Hankel operators, Wiener-Hopf operators (47B35) Probability measures on groups or semigroups, Fourier transforms, factorization (60B15) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12)

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Cited In (1)

• Equidistribution of high traces of random matrices over finite fields and cancellation in character sums of high conductor

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