Asymptotic normality of the trace for a class of distributions on orthogonal matrices

Amir Sepehri

Statistics & Probability Letters, 2018, vol. 137, issue C, 14-18

Abstract: This paper proves that the trace of the random orthogonal matrices generated by the QR procedure on a matrix with independent identically distributed entries is asymptotically standard normal. This generalizes a well known result of Diaconis and Mallows (1990). A more general case is considered and open problems are suggested.

Keywords: Gram–Schmidt procedure; Trace test; Random rotations; Asymptotic normality (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1016/j.spl.2018.01.003

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