A sharp rate of convergence for the empirical spectral measure of a random unitary matrix
Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 25, Tome 457 (2017), pp. 276-285
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We consider the convergence of the empirical spectral measures of random $N\times N$ unitary matrices. We give upper and lower bounds showing that the Kolmogorov distance between the spectral measure and the uniform measure on the unit circle is of the order $\log N/N$, both in expectation and almost surely. This implies in particular that the convergence happens more slowly for Kolmogorov distance than for the $L_1$-Kantorovich distance. The proof relies on the determinantal structure of the eigenvalue process.
@article{ZNSL_2017_457_a14,
author = {E. S. Meckes and M. W. Meckes},
title = {A sharp rate of convergence for the empirical spectral measure of a random unitary matrix},
journal = {Zapiski Nauchnykh Seminarov POMI},
pages = {276--285},
publisher = {mathdoc},
volume = {457},
year = {2017},
language = {en},
url = {http://geodesic.mathdoc.fr/item/ZNSL_2017_457_a14/}
}
TY - JOUR AU - E. S. Meckes AU - M. W. Meckes TI - A sharp rate of convergence for the empirical spectral measure of a random unitary matrix JO - Zapiski Nauchnykh Seminarov POMI PY - 2017 SP - 276 EP - 285 VL - 457 PB - mathdoc UR - http://geodesic.mathdoc.fr/item/ZNSL_2017_457_a14/ LA - en ID - ZNSL_2017_457_a14 ER -
E. S. Meckes; M. W. Meckes. A sharp rate of convergence for the empirical spectral measure of a random unitary matrix. Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 25, Tome 457 (2017), pp. 276-285. http://geodesic.mathdoc.fr/item/ZNSL_2017_457_a14/