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Stein's method and the multivariate CLT for traces of powers on the classical compact groups
random matrices compact Lie groups Haar measure traces of powers Stein’s method
2011/2/22
Let Mn be a random element of the unitary, special orthogonal, or unitary symplectic groups, distributed according to Haar measure. By a classical result of Diaconis and Shahshahani, for large matrix ...