GranMa 2011
Oct 3 - 6, 2011
Institut Henri Poincaré, Paris
Alain Rouault, UVSQ (Versailles):
Truncations of Haar distributed matrices, traces and bivariate Brownian bridges
(joint work with Catherine Donati-Martin) Let $U$ be a Haar distributed matrix in $\mathbb U(n)$ or $\mathbb O(n)$. We show that after centering the two-parameter process \[W^{(n)} (s,t) = \sum_{i \leq \lfloor ns \rfloor, j \leq \lfloor nt\rfloor} |U_{ij}|^2\] converges in distribution to the bivariate tied-down Brownian bridge.
Go to the GranMa home page.