Total variation approximation of random orthogonal matrices by Gaussian matrices

DOI10.1007/S10959-019-00900-5MaRDI QIDQ2181628zbMATH OpenOpenAlexWikidataFDO

Authors Kathryn Stewart

Publication date 19 May 2020

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1704.06641

zbMATH Keywords

central limit theoremmomentsrandom orthogonal matrixWishart matrices

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05)

Abstract: The topic of this paper is the asymptotic distribution of random orthogonal matrices distributed according to Haar measure. We examine the total variation distance between the joint distribution of the entries of $W_n$, the $p_{n}imes{q}_n$ upper-left block of a Haar-distributed matrix, and that of $p_n{q}_n$ independent standard Gaussian random variables. We show that the total variation distance converges to zero when $p_n{q}_n=o(n)$.

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Cited in

(15)

• Asymptotic normality of the trace for a class of distributions on orthogonal matrices
• Euclidean distance between Haar orthogonal and Gaussian matrices
• Maxima of entries of Haar distributed matrices
• Stein's method, heat kernel, and linear functions on the orthogonal groups
• Are random permutations spherically uniform?
• Random orthogonal matrices and the Cayley transform
• Linear functions on the classical matrix groups
• Distances between random orthogonal matrices and independent normals
• Extremal statistics of quadratic forms of GOE/GUE eigenvectors
• Multivariate normal approximation for traces of orthogonal and symplectic matrices
• Stable probability of reduced matrix obtained by Gaussian random projection
• Fisher information approximation of random orthogonal matrices by Gaussian matrices
• The distribution of permutation matrix entries under randomized basis
• How many entries of a typical orthogonal matrix can be approximated by independent normals?
• Sums of random symmetric matrices and quadratic optimization under orthogonality constraints

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