5
votes
1answer
190 views

Haar measure on $O(n)$ reduced to simpler probability space

The background of this question is how a random variable $X$ on the orthogonal group $O(n)$ whose distribution is the normalized Haar measure $\mu$, i.e., $\mu( O(n) ) = 1$, can be realized on a ...
1
vote
1answer
252 views

Mean value theorems for the Haar integral?

Let $G$ be a compact topological group (feel free to add hypotheses if necessary). Is there any mean value theorem for its (normalized to 1) Haar integral? In general, are there mean value theorems ...
21
votes
0answers
903 views

Correspondence between eigenvalue distributions of random unitary and random orthogonal matrices

In the course of a physics problem (arXiv:1206.6687), I stumbled on a curious correspondence between the eigenvalue distributions of the matrix product $U\bar{U}$, with $U$ a random unitary matrix and ...
6
votes
2answers
756 views

Statistics for Haar measure of random matrices?

Let's say I have $M$ samples of $N\times N$ real orthogonal matrices. What statistics can I calculate to test if they could have been drawn from a distribution consistent with Haar measure over ...
2
votes
4answers
2k views

Intuition for Haar measure of random matrix

What is an intuitive way to understand Haar measure as defined for random matrices, say, $N\times N$ orthogonal or unitary matrices? My understanding for what Haar measure means for $U(1)$ is that it ...
20
votes
3answers
930 views

In an inductive family of groups, does the probability that a particular word is satisfied converge?

We have some group word $w$ in $k$ letters. We say a $k$-tuple of group elements $\vec{g} = (g_1, g_2, \ldots , g_k) \in G^k$ satisfies the word $w$ if $w$ gives the identity at $\vec{g}$. More ...
18
votes
4answers
1k views

Is every probability space a factor space of the Haar Measure on some group?

Let P be an arbitrary probability space. I would like to find a compact topological group $G$ so that the Haar probability measure on $G$ admits a measurable map to the probability space $P$. By a ...