On the Variance of the Index for the Gaussian Unitary Ensemble

Abstract

We derive simple linear, inhomogeneous recurrences for the variance of the index by utilising the fact that the generating function for the distribution of the number of positive eigenvalues of a Gaussian unitary ensemble is a $\tau$-function of the fourth Painlevé equation. From this we deduce a simple summation formula, several integral representations and finally an exact hypergeometric function evaluation for the variance.

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• How many eigenvalues of a Gaussian random matrix are positive?