Multivariate normal approximation for traces of orthogonal and symplectic matrices

Abstract

We show that the distance in total variation between $(\mathrm{Tr}U,\frac{1}{\sqrt{2}}\mathrm{Tr}{U}^2,\cdots ,\frac{1}{\sqrt{m}}\mathrm{Tr}{U}^m)$ and a real Gaussian vector, where $U$ is a Haar distributed orthogonal or symplectic matrix of size $2n$ or $2n+1$, is bounded by $\Gamma (2\frac{n}{m}+1{)}^{-\frac{1}{2}}$ times a correction. The correction term is explicit and holds for all $n\ge m^4$, for $m$ sufficiently large. For $n\ge m^3$ we obtain the bound $(\frac{n}{m}{)}^{-c\sqrt{\frac{n}{m}}}$ with an explicit constant $c$. Our method of proof is based on an identity of Toeplitz+Hankel determinants due to Basor and Ehrhardt, see \cite{BE}, which is also used to compute the joint moments of the traces.

29 pages