Linear functions on the classical matrix groups

Details Linear functions on the classical matrix groups Linear functions on the classical matrix groups

2005-09-20

arxiv.org/abs/math/0509441v3

Trans. Amer. Math. Soc. 360, no. 10 (2008)

Mathematics

Probability

13 pages, reorganized to include new abstract approximation theorem, typographical errors fixed

Scientific paper

Let $M$ be a random matrix in the orthogonal group $\O_n$, distributed according to Haar measure, and let $A$ be a fixed $n\times n$ matrix over $\R$ such that $\tr(AA^t)=n$. Then the total variation distance of the random variable $\tr(AM)$ to standard normal is bounded by $2\sqrt{3}/(n-1)$, and this rate is sharp up to the constant. Analogous results are obtained for $M$ a random unitary matrix and $A$ a fixed $n\times n$ matrix over $\C$. The proofs are applications of a new abstract normal approximation theorem which extends Stein's method of exchangeable pairs to situations in which continuous symmetries are present.

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