Matrix measures, random moments and Gaussian ensembles

We consider the moment space Mn corresponding to p × p real or complex matrix measures defined on the interval [0, 1]. The asymptotic properties of the first k components of a uniformly distributed vector (S1,n, . . . , Sn,n) ∗ ∼ U(Mn) are studied if n → ∞. In particular, it is shown that an appropriately centered and standardized version of the vector (S1,n, . . . , Sk,n) ∗ converges weakly to a vector of k independent p × p Gaussian ensembles. For the proof of our results we use some new relations between ordinary moments and canonical moments of matrix measures which are of own interest. In particular, it is shown that the first k canonical moments corresponding to the uniform distribution on the real or complex moment spaceMn are independent multivariate Beta distributed random variables and that each of these random variables converge in distribution (if the parameters converge to infinity) to the Gaussian orthogonal ensemble or to the Gaussian unitary ensemble, respectively. Keyword and Phrases: Gaussian ensemble, matrix measures, canonical moments, multivariate Beta distribution, Jacobi ensemble, random matrix AMS Subject Classification: 60F05, 15A52, 30E05