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math.PR2008
Large Deviations for Random Spectral Measures and Sum Rules
Fabrice Gamboa, Alain Rouault
We prove a Large Deviation Principle for the random spec- tral measure associated to the pair where is sampled in the GUE(N) and e is a fixed unit vector (and more…
math.PR2008★ 21 cited
Canonical moments and random spectral measures
Fabrice Gamboa, Alain Rouault
We study some connections between the random moment problem and the random matrix theory. A uniform draw in a space of moments can be lifted into the spectral probability measure o…