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Let's say I have $M$ samples of $N\times N$ real symmetric orthogonal matrices. What statistics can I calculate to test if they could have been drawn from a distribution consistent with Haar measure over $O(N)$? This question is related to this previous question. |
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Statistics for Haar measure of random matrices?Let's say I have $M$ samples of $N\times N$ real symmetric orthogonal matrices. What statistics can I calculate to test if they could have been drawn from a distribution consistent with Haar measure over $O(N)$? This question is related to this previous question.
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