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Limit theorems for Jacobi ensembles with large parameters

Probability 2021-10-27 v2 Mathematical Physics math.MP

Abstract

Consider Jacobi random matrix ensembles with the distributions ck1,k2,k31i<jN(xjxi)k3i=1N(1xi)k1+k2212(1+xi)k2212dxc_{k_1,k_2,k_3}\prod_{1\leq i< j \leq N}\left(x_j-x_i\right)^{k_3}\prod_{i=1}^N \left(1-x_i\right)^{\frac{k_1+k_2}{2}-\frac{1}{2}}\left(1+x_i\right)^{\frac{k_2}{2}-\frac{1}{2}} dx of the eigenvalues on the alcoves A:={xRN1x1...xN1}.A:=\{x\in\mathbb R^N| \> -1\leq x_1\le ...\le x_N\leq 1\}. For (k1,k2,k3)=κ(a,b,1)(k_1,k_2,k_3)=\kappa\cdot (a,b,1) with a,b>0a,b>0 fixed, we derive a central limit theorem for the distributions above for κ\kappa\to\infty. The drift and the inverse of the limit covariance matrix are expressed in terms of the zeros of classical Jacobi polynomials. We also rewrite the CLT in trigonometric form and determine the eigenvalues and eigenvectors of the limit covariance matrices. These results are related to corresponding limits for β\beta-Hermite and β\beta-Laguerre ensembles for β\beta\to\infty by Dumitriu and Edelman and by Voit.

Keywords

Cite

@article{arxiv.1905.07983,
  title  = {Limit theorems for Jacobi ensembles with large parameters},
  author = {Kilian Hermann and Michael Voit},
  journal= {arXiv preprint arXiv:1905.07983},
  year   = {2021}
}

Comments

The presentation of the results is improved, and additional references are added

R2 v1 2026-06-23T09:12:54.828Z