Random truncations of Haar distributed matrices and bridges

arXiv1302.6539MaRDI QIDQ6239917FDOQ6239917

Authors: Catherine Donati-Martin, Alain Rouault 

Publication date: 26 February 2013

Abstract: Let $U$ be a Haar distributed matrix in $mathbbU(n)$ or $mathbbO(n)$. In a previous paper, we proved that after centering, the two-parameter process [T^{(n)} (s,t) = sum_{i leq lfloor ns floor, j leq lfloor nt floor} |U_{ij}|^2] converges in distribution to the bivariate tied-down Brownian bridge. In the present paper, we replace the deterministic truncation of $U$ by a random one, where each row (resp. column) is chosen with probability $s$ (resp. $t$) independently. We prove that the corresponding two-parameter process, after centering and normalization by $n^{-1/2}$ converges to a Gaussian process. On the way we meet other interesting convergences.

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