The ``north pole problem and random orthogonal matrices

DOI10.1016/J.SPL.2009.05.012MaRDI QIDQ840813zbMATH OpenOpenAlexFDO

Authors Morris L. Eaton, Robb J. Muirhead

Publication date 14 September 2009

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0811.2678

Mathematics Subject Classification ID

Probability measures on groups or semigroups, Fourier transforms, factorization (60B15) Probability theory on algebraic and topological structures (60B99)

Abstract: This paper is motivated by the following observation. Take a 3 x 3 random (Haar distributed) orthogonal matrix $Gamma$, and use it to "rotate" the north pole, $x_0$ say, on the unit sphere in $R^3$. This then gives a point $u=Gamma{x}_0$ that is uniformly distributed on the unit sphere. Now use the same orthogonal matrix to transform u, giving $v=Gammau=Gamm{a}^2{x}_0$. Simulations reported in Marzetta et al (2002) suggest that v is more likely to be in the northern hemisphere than in the southern hemisphere, and, morever, that $w=Gamm{a}^3{x}_0$ has higher probability of being closer to the poles $pm{x}_0$ than the uniformly distributed point u. In this paper we prove these results, in the general setting of dimension $pge3$, by deriving the exact distributions of the relevant components of u and v. The essential questions answered are the following. Let x be any fixed point on the unit sphere in $R^p$, where $pge3$. What are the distributions of $U_2=x^{\prime }Gamm{a}^{2}x$ and $U_3=x^{\prime }Gamm{a}^{3}x$? It is clear by orthogonal invariance that these distribution do not depend on x, so that we can, without loss of generality, take x to be $x_0=(1,0,\mathrm{...},0{)}^{\prime }in{R}^p$. Call this the "north pole". Then ${x_0}^{\prime }Gamm{a}^k{x}_0$ is the first component of the vector $Gamm{a}^k{x}_0$. We derive stochastic representations for the exact distributions of $U_2$ and $U_3$ in terms of random variables with known distributions.

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Cites work

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