Uniqueness of the Gaussian Orthogonal Ensemble (1901.09257v3)

Abstract: A known result in random matrix theory states the following: Given a random Wigner matrix $X$ which belongs to the Gaussian Orthogonal Ensemble (GOE), then such matrix $X$ has an invariant distribution under orthogonal conjugations. The goal of this work is to prove the converse, that is, if $X$ is a symmetric random matrix such that it is invariant under orthogonal conjugations, then such matrix $X$ belongs to the GOE. We will prove this using some elementary properties of the characteristic function of random variables.