A note on the exact simulation of a random eigenvalue of a GUE matrix (2304.03741v3)

Published 7 Apr 2023 in math.PR

Abstract: 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.

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