How many entries of a typical orthogonal matrix can be approximated by independent normals? (English) Zbl 1107.15018

Jiang, Tiefeng

Ann. Probab. 34, No. 4, 1497-1529 (2006).

The goal of the paper is to find the largest orders such that the left upper block of a random matrix uniformly distributed on \(O(n)\), can be approximated by standard normals. Given two absolutely continuous probability measures \(\mu\) and \(\nu\) on \(\mathbb{R}^m\), the variation distance between \(\mu\) and \(\nu\) is defined as \[ \| \mu-\nu\| =2\cdot\sup_A\,| \mu(A)-\nu(A)| . \] Consider random matrices \(\Gamma_n\) uniformly distributed on \(O(n)\), and let \(Z_n\) be the \(p_n\times q_n\) upper left block of \(\Gamma_n\). Let \(G_n\) be the distribution of \(p_nq_n\) independent standard normals, and let \(\mathcal{L}(\sqrt{n}\,Z_n)\) denote the joint probability distribution of the \(p_nq_n\) entries of \(\sqrt{n}Z_n\). The author proves that if \(p_n=o(\sqrt{n})\) and \(q_n=o(\sqrt{n})\) then \[ \lim_{n\rightarrow\infty}\| \mathcal{L}(\sqrt{n}Z_n)-G_n\| =0, \] and that if \(x,y>0\) are fixed numbers such that \(p_n=[x\sqrt{n}]\), \(q_n=[y\sqrt{n}]\), then \[ \liminf_{n\rightarrow\infty}\| \mathcal{L}(\sqrt{n}Z_n)-G_n\| \geq E\biggl| \exp\biggl(-\frac{x^2y^2}8+\frac{xy}4\,\xi \biggr)-1\biggr| >0, \] where \(\xi\) is a standard normal.
For the case of variation distance, the above results show that the largest orders of \(p_n\) and \(q_n\) such that \(Z_n\) can be approximated by standard normals are \(o(\sqrt{n})\).
Let \(Y_n\) be \(n\times n\) random matrices with independent standard normal entries, and obtain \(\Gamma_n\) from \(Y_n\) by doing Gram-Schmidt on the columns of \(Y_n\). Then, if \[ \varepsilon_n(m)=\max_{1\leq i\leq n,1\leq j\leq m}\,| \sqrt{n}\gamma_{ij}-y_{ij}| , \] the author proves that \(\Gamma_n\) is Haar invariant on \(O(n)\), that \(\varepsilon_n(m_n)\rightarrow 0\) in probability provided that \(m_n=o(n/\log n)\), and that given \(\alpha>0\), \(\varepsilon_n([n\alpha/\log n])\rightarrow 2\sqrt\alpha\) in probability.
The above result shows that \(m_n=o(n/\log n)\) is the largest order such that the entries of the first \(m_n\) columns of \(\Gamma_n\) can be approximated simultaneously by independent standard normals.

Reviewer: Martín Argerami (Regina)

MSC:

15B52	Random matrices (algebraic aspects)
60B15	Probability measures on groups or semigroups, Fourier transforms, factorization
60B10	Convergence of probability measures
60F05	Central limit and other weak theorems
62H10	Multivariate distribution of statistics

Keywords:

Haar measure; random matrix; large deviation

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