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The Random Matrix Theory of the Classical Compact Groups
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Book description

This is the first book to provide a comprehensive overview of foundational results and recent progress in the study of random matrices from the classical compact groups, drawing on the subject's deep connections to geometry, analysis, algebra, physics, and statistics. The book sets a foundation with an introduction to the groups themselves and six different constructions of Haar measure. Classical and recent results are then presented in a digested, accessible form, including the following: results on the joint distributions of the entries; an extensive treatment of eigenvalue distributions, including the Weyl integration formula, moment formulae, and limit theorems and large deviations for the spectral measures; concentration of measure with applications both within random matrix theory and in high dimensional geometry; and results on characteristic polynomials with connections to the Riemann zeta function. This book will be a useful reference for researchers and an accessible introduction for students in related fields.

Reviews

‘This beautiful book describes an important area of mathematics, concerning random matrices associated with the classical compact groups, in a highly accessible and engaging way. It connects a broad range of ideas and techniques, from analysis, probability theory, and representation theory to recent applications in number theory. It is a really excellent introduction to the subject.'

J. P. Keating - University of Bristol

‘Meckes's new text is a wonderful contribution to the mathematics literature … The book addresses many important topics related to the field of random matrices and provides a who's-who list for the subject in its list of references. Those actively researching in this area should acquire a copy of the book; they will understand the jargon from compact matrix groups, measure theory, and probability …’

A. Misseldine Source: Choice

‘… the author provides an overview of foundational results and recent progress in the study of random matrices from classical compact groups, that is O(n), U(n) and Sp(2n). The main goal is to answer the general question: 'What is a random orthogonal, unitary or symplectic matrix like'?’

Andreas Arvanitoyeorgos Source: zbMATH

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