21
votes
0answers
918 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 ...
4
votes
1answer
366 views

Decomposition of Haar measure other than Hurwitz's

Hurwitz defined a decomposition of the Haar measure on $SO(n)$ based on Given's rotation. So by left multiplication of Givens rotation one can always bring an orthogonal matrix into the identity. The ...
6
votes
2answers
776 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 ...