Random truncations of Haar distributed matrices and bridges

Authors Catherine Donati-Martin, Alain Rouault

Publication date 26 February 2013

Abstract: Let

U

be a Haar distributed matrix in

m a t h b b U (n)

or

m a t h b b O (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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