Eigenvalue distributions of random unitary matrices

Abstract

Let U be an n × n random matrix chosen from Haar measure on the unitary group. For a fixed arc of the unit circle, let X be the number of eigenvalues of M which lie in the specified arc. We study this random variable as the dimension n grows, using the connection between Toeplitz matrices and random unitary matrices, and show that (X -E [X])/(\Var (X))1/2 is asymptotically normally distributed. In addition, we show that for several fixed arcs I1, ..., Im, the corresponding random variables are jointly normal in the large n limit.