A note on the exact simulation of a random eigenvalue of a GUE matrix
Fuente:
arXiv
Guardado en:
| Autores principales: | , |
|---|---|
| Formato: | Preprint |
| Publicado: |
2023
|
| Materias: | |
| Acceso en línea: | |
| Etiquetas: |
Agregar Etiqueta
Sin Etiquetas, Sea el primero en etiquetar este registro!
|
| _version_ | 1866908916392132608 |
|---|---|
| author | Devroye, Luc Hamdan, Jad |
| author_facet | Devroye, Luc Hamdan, Jad |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2304_03741 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | A note on the exact simulation of a random eigenvalue of a GUE matrix Devroye, Luc Hamdan, Jad Probability 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. |
| title | A note on the exact simulation of a random eigenvalue of a GUE matrix |
| topic | Probability |
| url | https://arxiv.org/abs/2304.03741 |