TY - JOUR

T1 - The characteristic polynomial of a random unitary matrix

T2 - A probabilistic approach

AU - Bourgade, P.

AU - Hughes, C. P.

AU - Nikeghbali, A.

AU - Yor, M.

N1 - Copyright:
Copyright 2008 Elsevier B.V., All rights reserved.

PY - 2008/10/1

Y1 - 2008/10/1

N2 - In this article, we propose a probabilistic approach to the study of the characteristic polynomial of a random unitary matrix. We recover the Mellin-Fourier transform of such a random polynomial, first obtained by Keating and Snaith in [8] using a simple recursion formula, and from there we are able to obtain the joint law of its radial and angular parts in the complex plane. In particular, we show that the real and imaginary parts of the logarithm of the characteristic polynomial of a random unitary matrix can be represented in law as the sum of independent random variables. From such representations, the celebrated limit theorem obtained by Keating and Snaith in [8] is now obtained from the classical central limit theorems of probability theory, as well as some new estimates for the rate of convergence and law of the iterated logarithm-type results.

AB - In this article, we propose a probabilistic approach to the study of the characteristic polynomial of a random unitary matrix. We recover the Mellin-Fourier transform of such a random polynomial, first obtained by Keating and Snaith in [8] using a simple recursion formula, and from there we are able to obtain the joint law of its radial and angular parts in the complex plane. In particular, we show that the real and imaginary parts of the logarithm of the characteristic polynomial of a random unitary matrix can be represented in law as the sum of independent random variables. From such representations, the celebrated limit theorem obtained by Keating and Snaith in [8] is now obtained from the classical central limit theorems of probability theory, as well as some new estimates for the rate of convergence and law of the iterated logarithm-type results.

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U2 - 10.1215/00127094-2008-046

DO - 10.1215/00127094-2008-046

M3 - Article

AN - SCOPUS:54149106482

VL - 145

SP - 45

EP - 69

JO - Duke Mathematical Journal

JF - Duke Mathematical Journal

SN - 0012-7094

IS - 1

ER -