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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 $O(N)$?

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edited Oct 8, 2011 at 5:40

Jiahao Chen

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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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asked Oct 6, 2011 at 5:37

Jiahao Chen

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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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Statistics for Haar measure of random matrices?