762 research outputs found
A free central-limit theorem for dynamical systems
The free central-limit theorem, a fundamental theorem in free probability,
states that empirical averages of freely independent random variables are
asymptotically semi-circular. We extend this theorem to general dynamical
systems of operators that we define using a free random variable coupled
with a group of *-automorphims describing the evolution of . We introduce
free mixing coefficients that measure how far a dynamical system is from being
freely independent. Under conditions on those coefficients, we prove that the
free central-limit theorem also holds for these processes and provide
Berry-Essen bounds. We generalize this to triangular arrays and U-statistics.
Finally we draw connections with classical probability and random matrix theory
with a series of examples
The Dirichlet Markov Ensemble
We equip the polytope of Markov matrices with the normalized
trace of the Lebesgue measure of . This probability space
provides random Markov matrices, with i.i.d. rows following the Dirichlet
distribution of mean . We show that if \bM is such a random
matrix, then the empirical distribution built from the singular values
of\sqrt{n} \bM tends as to a Wigner quarter--circle
distribution. Some computer simulations reveal striking asymptotic spectral
properties of such random matrices, still waiting for a rigorous mathematical
analysis. In particular, we believe that with probability one, the empirical
distribution of the complex spectrum of \sqrt{n} \bM tends as to
the uniform distribution on the unit disc of the complex plane, and that
moreover, the spectral gap of \bM is of order when is
large.Comment: Improved version. Accepted for publication in JMV
Random doubly stochastic matrices: The circular law
Let be a matrix sampled uniformly from the set of doubly stochastic
matrices of size . We show that the empirical spectral distribution
of the normalized matrix converges almost surely
to the circular law. This confirms a conjecture of Chatterjee, Diaconis and
Sly.Comment: Published in at http://dx.doi.org/10.1214/13-AOP877 the Annals of
Probability (http://www.imstat.org/aop/) by the Institute of Mathematical
Statistics (http://www.imstat.org
Central Limit Theorems for the Brownian motion on large unitary groups
In this paper, we are concerned with the large N limit of linear combinations
of the entries of a Brownian motion on the group of N by N unitary matrices. We
prove that the process of such a linear combination converges to a Gaussian
one. Various scales of time and various initial distribution are concerned,
giving rise to various limit processes, related to the geometric construction
of the unitary Brownian motion. As an application, we propose a quite short
proof of the asymptotic Gaussian feature of the linear combinations of the
entries of Haar distributed random unitary matrices, a result already proved by
Diaconis et al.Comment: 14 page
- …