On Random Matrices from the Compact Classical Groups

Abstract

If M is a matrix taken randomly with respect to normalized Haar measure on U(n), O(n) or Sp(n), then the real and imaginary parts of the random variables Tr(Mk), k > 1, converge to independent normal random variables with mean zero and variance k/2, as the size n of the matrix goes to infinity. For the unitary group this is a direct consequence of the strong Szeg6 theorem for Toeplitz determinants. We will prove a conjecture of Diaconis