A Smooth Transition from Wishart to GOE

Abstract

© 2018, Springer Science+Business Media, LLC, part of Springer Nature. It is well known that an n× n Wishart matrix with d degrees of freedom is close to the appropriately centered and scaled Gaussian orthogonal ensemble (GOE) if d is large enough. Recent work of Bubeck, Ding, Eldan, and Racz, and independently Jiang and Li, shows that the transition happens when d= Θ (n 3 ). Here we consider this critical window and explicitly compute the total variation distance between the Wishart and GOE matrices when d/ n 3 → c∈ (0 , ∞). This shows, in particular, that the phase transition from Wishart to GOE is smooth.