TRUNCATIONS OF HAAR DISTRIBUTED MATRICES, TRACES AND BIVARIATE BROWNIAN BRIDGES

DOI10.1142/S2010326311500079zbMath1247.15031arXiv1007.1366MaRDI QIDQ2893156

Alain Rouault, Catherine Donati-Martin

Publication date: 26 June 2012

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

Full work available at URL: https://arxiv.org/abs/1007.1366

zbMATH Keywords

random matricesinvariance principleorthogonal ensembleunitary ensemblebivariate Brownian bridge

Mathematics Subject Classification ID

Free probability and free operator algebras (46L54) Random matrices (algebraic aspects) (15B52) Functional limit theorems; invariance principles (60F17)

Related Items

Fermionic eigenvector moment flow, Comparison between two types of large sample covariance matrices, A UNIVERSALITY RESULT FOR THE GLOBAL FLUCTUATIONS OF THE EIGENVECTORS OF WIGNER MATRICES, A functional CLT for partial traces of random matrices

Cites Work

• Unnamed Item
• A variance formula related to a quantum conductance problem
• Second order freeness and fluctuations of random matrices. II: Unitary random matrices
• Integration with respect to the Haar measure on unitary, orthogonal and symplectic group
• Weak convergence of random functions defined by the eigenvectors of sample covariance matrices
• Asymptotic results in canonical discriminant analysis when the dimension is large compared to the sample size
• Spectral analysis of large dimensional random matrices
• Corrections to LRT on large-dimensional covariance matrix by RMT
• Limit laws for random matrices and free products
• An invariance principle for triangular arrays
• The hyperoctahedral group, symmetric group representations and the moments of the real Wishart distribution
• On fluctuations of eigenvalues of random Hermitian matrices.
• Cumulants for random matrices as convolutions on the symmetric group. II
• Second order freeness and fluctuations of random matrices. I: Gaussian and Wishart matrices and cyclic Fock spaces
• Product of random projections, Jacobi ensembles and universality problems arising from free probability
• An Introduction to Random Matrices
• Describing the Behavior of Eigenvectors of Random Matrices Using Sequences of Measures on Orthogonal Groups
• Convergence Criteria for Multiparameter Stochastic Processes and Some Applications