Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4592456 | Journal of Functional Analysis | 2007 | 11 Pages |
Abstract
We show that the mixing times of random walks on compact groups can be used to obtain concentration inequalities for the respective Haar measures. As an application, we derive a concentration inequality for the empirical distribution of eigenvalues of sums of random Hermitian matrices, with possible applications in free probability. The advantage over existing techniques is that the new method can deal with functions that are non-Lipschitz or even discontinuous with respect to the usual metrics.
Related Topics
Physical Sciences and Engineering
Mathematics
Algebra and Number Theory