The Entries of Haar-Invariant Matrices from the Classical Compact Groups

Tiefeng Jiang ()
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Tiefeng Jiang: University of Minnesota

Journal of Theoretical Probability, 2010, vol. 23, issue 4, 1227-1243

Abstract: Abstract Let Γ n =(γ ij )n×n be a random matrix with the Haar probability measure on the orthogonal group O(n), the unitary group U(n), or the symplectic group Sp(n). Given 1≤m

Keywords: Random matrix; Haar measure; Classical compact group; Probability inequality; Independence; Gaussian distribution; 15A52; 60B15; 62E17 (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s10959-009-0241-7

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