The Entries of Haar-Invariant Matrices from the Classical Compact Groups

Abstract

Let Γ n =(γ ij )n×n be a random matrix with the Haar probability measure on the orthogonal group O(n), the unitary group U(n), or the symplectic group Sp(n). Given 1≤m<n, a probability inequality for a distance between (γ ij )n×m and some mn independent F-valued normal random variables is obtained, where F=ℝ, ℂ, or ℍ (the set of real quaternions). The result is universal for the three cases. In particular, the inequality for Sp(n) is new.