Normal limit theorems for symmetric random matrices

Abstract

Using the machinery of zonal polynomials, we examine the limiting behavior of random symmetric matrices invariant under conjugation by orthogonal matrices as the dimension tends to infinity. In particular, we give sufficient conditions for the distribution of a fixed submatrix to tend to a normal distribution. We also consider the problem of when the sequence of partial sums of the diagonal elements tends to a Brownian motion. Using these results, we show that if O_n is a uniform random n×n orthogonal matrix, then for any fixed k>0, the sequence of partial sums of the diagonal of O^k_n tends to a Brownian motion as n→∞.