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Multivariate normal approximation for traces of orthogonal and symplectic matrices
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematics (Div.).ORCID iD: 0000-0003-1193-8355
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematics (Div.).ORCID iD: 0000-0003-2943-7006
2024 (English)In: Annales de l'I.H.P. Probabilites et statistiques, ISSN 0246-0203, E-ISSN 1778-7017, Vol. 60, no 1, p. 312-342Article in journal (Refereed) Published
Abstract [en]

We show that the distance in total variation between (Tr U, √12 Tr U2, . . ., √m Tr Um) and a real Gaussian vector, where 1 U is a Haar distributed orthogonal or symplectic matrix of size 2n or 2n + 1, is bounded by 「 (2 mn + 1)− 12 times a correction. The correction term is explicit and holds for all n ≥ m4, for m sufficiently large. For n ≥ m3 we obtain the bound (mn)−c √ mn with an explicit constant c. Our method of proof is based on an identity of Toeplitz + Hankel determinants due to Basor and Ehrhardt, see (Oper. Matrices 3 (2009) 167–86), which is also used to compute the joint moments of the traces.

Place, publisher, year, edition, pages
Institute of Mathematical Statistics , 2024. Vol. 60, no 1, p. 312-342
Keywords [en]
Hankel determinants, Multivariate Gaussian approximation, Toeplitz determinants
National Category
Computational Mathematics
Identifiers
URN: urn:nbn:se:kth:diva-344577DOI: 10.1214/22-AIHP1332ISI: 001177499400007Scopus ID: 2-s2.0-85186940639OAI: oai:DiVA.org:kth-344577DiVA, id: diva2:1845965
Note

QC 20240321

Available from: 2024-03-20 Created: 2024-03-20 Last updated: 2024-04-26Bibliographically approved

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Courteaut, KlaraJohansson, Kurt

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CiteExportLink to record
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