Concentration of Haar measures, with an application to random matrices

Details Concentration of Haar measures, with an application to random matrices Concentration of Haar measures, with an application to random matrices

2005-08-26

arxiv.org/abs/math/0508518v3

Mathematics

Probability

12 pages. To appear in J. Funct. Anal

Scientific paper

We show that the mixing times of random walks on compact groups can be used to obtain concentration inequalities for the respective Haar measures. As an application, we derive a concentration inequality for the empirical distribution of eigenvalues of sums of random hermitian matrices, with possible applications in free probability. The advantage over existing techniques is that the new method can deal with functions that are non-Lipschitz or even discontinuous with respect to the usual metrics.

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