Random Block Matrices and Matrix Orthogonal Polynomials

Abstract

In this paper we consider random block matrices, which generalize the general beta ensembles recently investigated by Dumitriu and Edelmann (J. Math. Phys. 43:5830–5847, 2002; Ann. Inst. Poincaré Probab. Stat. 41:1083–1099, 2005). We demonstrate that the eigenvalues of these random matrices can be uniformly approximated by roots of matrix orthogonal polynomials which were investigated independently from the random matrix literature. As a consequence, we derive the asymptotic spectral distribution of these matrices. The limit distribution has a density which can be represented as the trace of an integral of densities of matrix measures corresponding to the Chebyshev matrix polynomials of the first kind. Our results establish a new relation between the theory of random block matrices and the field of matrix orthogonal polynomials, which have not been explored so far in the literature.