Concentration of Haar measures, with an application to random matrices

DOI10.1016/J.JFA.2007.01.003zbMATH Open1115.60007arXivmath/0508518OpenAlexW2073569249MaRDI QIDQ883499FDOQ883499

Sourav Chatterjee

Publication date: 4 June 2007

Published in: Journal of Functional Analysis (Search for Journal in Brave)

Abstract: We show that the mixing times of random walks on compact groups can be used to obtain concentration inequalities for the respective Haar measures. As an application, we derive a concentration inequality for the empirical distribution of eigenvalues of sums of random hermitian matrices, with possible applications in free probability. The advantage over existing techniques is that the new method can deal with functions that are non-Lipschitz or even discontinuous with respect to the usual metrics.

Full work available at URL: https://arxiv.org/abs/math/0508518

zbMATH Keywords

random walkStein's methodconcentration inequalitiessemigroup methodmixing timeconcentration of measureHaar measure

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Discrete-time Markov processes on general state spaces (60J05) Probability measures on groups or semigroups, Fourier transforms, factorization (60B15)

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Cited In (12)

• Another observation about operator compressions
• Convergence rate for spectral distribution of addition of random matrices
• Asymptotically liberating sequences of random unitary matrices
• Local spectrum of truncations of Kronecker products of Haar distributed unitary matrices
• Local stability of the free additive convolution
• On the concentration of random multilinear forms and the universality of random block matrices
• Estimation in spin glasses: a first step
• A concentration inequality and a local law for the sum of two random matrices
• Applications of Stein's method for concentration inequalities
• Local law of addition of random matrices on optimal scale
• Concentration and convergence rates for spectral measures of random matrices
• On concentration of high-dimensional matrices with randomly signed entries

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