A note on the exact simulation of a random eigenvalue of a GUE matrix
arXiv:2304.03741 · doi:10.1016/j.spl.2026.110736
Abstract
We develop a simple algorithm to generate random variables described by densities equaling squared Hermite functions. As an application, we show how to generate a randomly chosen eigenvalue of a matrix from the Gaussian Unitary Ensemble ({\textsc{gue}}) in sub-linear expected time.
12 pages, 3 figures