The singular values of the GOE

DOI10.1142/S2010326315500094MaRDI QIDQ3449981zbMATH OpenOpenAlexFDO

Authors Michael La Croix, Folkmar Bornemann

Publication date 30 October 2015

Published in Random Matrices: Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1502.05946

zbMATH Keywords

determinantsgap probabilitiesGaussian orthogonal ensembleGaussian unitary ensembleLaguerre unitary ensemblerandom matricessingular values

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05) Exact distribution theory in statistics (62E15)

Abstract: As a unifying framework for examining several properties that nominally involve eigenvalues, we present a particular structure of the singular values of the Gaussian orthogonal ensemble (GOE): the even-location singular values are distributed as the positive eigenvalues of a Gaussian ensemble with chiral unitary symmetry (anti-GUE), while the odd-location singular values, conditioned on the even-location ones, can be algebraically transformed into a set of independent $chi$-distributed random variables. We discuss three applications of this structure: first, there is a pair of bidiagonal square matrices, whose singular values are jointly distributed as the even- and odd-location ones of the GOE; second, the magnitude of the determinant of the GOE is distributed as a product of simple independent random variables; third, on symmetric intervals, the gap probabilities of the GOE can be expressed in terms of the Laguerre unitary ensemble (LUE). We work specifically with matrices of finite order, but by passing to a large matrix limit, we also obtain new insight into asymptotic properties such as the central limit theorem of the determinant or the gap probabilities in the bulk-scaling limit. The analysis in this paper avoids much of the technical machinery (e.g. Pfaffians, skew-orthogonal polynomials, martingales, Meijer $G$-function, etc.) that was previously used to analyze some of the applications.

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Cited in

(11)

• An arithmetic property of moments of the \(\beta\)-Hermite ensemble and certain map enumerators
• The random matrix hard edge: rare events and a transition
• Gaussian fluctuations of the determinant of Wigner matrices
• Exponential growth of random determinants beyond invariance
• scientific article; zbMATH DE number 988833 (Why is no real title available?)
• Singular values and evenness symmetry in random matrix theory
• The singular values of the gue (less is more)
• Orthogonal and symplectic Harish-Chandra integrals and matrix product ensembles
• Interlacing diffusions
• Non-crossing annular pairings and the infinitesimal distribution of the GOE
• Singular value statistics for the spiked elliptic Ginibre ensemble

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