Open this publication in new window or tab >>2024 (English)In: Electronic Journal of Probability, E-ISSN 1083-6489, Vol. 29, article id 11Article in journal (Refereed) Published
Abstract [en]
For any integer m < n, where m can depend on n, we study the rate of convergence (Formula Presented) to its limiting Gaussian as n → ∞ for orthogonal, unitary and symplectic Haar distributed random matrices U of size n. In the unitary case, we prove that the total variation distance is less than (Formula Presented) times a constant. This result interpolates between the super-exponential bound obtained for fixed m and the 1/n bound coming from the Berry–Esseen theorem applicable when m ≥ n by a result of Rains. We obtain analogous results for the orthogonal and symplectic groups. In these cases, our total variation upper bound takes the form (Formula Presented) times a constant and the result holds provided n > 2m. For m = 1, we obtain complementary lower bounds and precise asymptotics for the L2-distances as n → ∞, which show how sharp our results are.
Place, publisher, year, edition, pages
Institute of Mathematical Statistics, 2024
Keywords
classical compact groups, Haar measure, Hankel determinants, rate of convergence, Toeplitz determinants
National Category
Mathematical Analysis
Identifiers
urn:nbn:se:kth:diva-344004 (URN)10.1214/23-EJP1068 (DOI)001165378300001 ()2-s2.0-85185324572 (Scopus ID)
Note
QC 20240229
2024-02-282024-02-282025-12-05Bibliographically approved