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

momentscentral limit theoremWishart matricesrandom orthogonal matrix

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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Cites work

• scientific article; zbMATH DE number 51418 (Why is no real title available?)
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• The distribution of permutation matrix entries under randomized basis
• Stable probability of reduced matrix obtained by Gaussian random projection
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• Extremal statistics of quadratic forms of GOE/GUE eigenvectors
• Multivariate normal approximation for traces of orthogonal and symplectic matrices
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