Fisher information approximation of random orthogonal matrices by Gaussian matrices

Yutong Chen, Yutao Ma, Shuhong Xie +1

Let $\hat{I}{“}_n$ be an $n\times n$ Haar-invariant orthogonal matrix. Let $Z_n$ be the $p\times q$ upper-left submatrix of $\hat{I}{“}_n$ and $G_n$ be a $p\times q$ matrix whose $pq$ entries…