Second order freeness and fluctuations of random matrices: II. Unitary random matrices

• Published in: Advances in mathematics (New York. 1965) Vol. 209; no. 1; pp. 212 - 240
• Main Authors: Mingo, James A., Śniady, Piotr, Speicher, Roland
• Format: Journal Article
• Language: English
• Published: Elsevier Inc 15-02-2007
• Subjects: Free probability; Haar distributed unitary random matrices; Second order freeness; Free probability; Second order freeness; Haar distributed unitary random matrices
• ISSN: 0001-8708; 1090-2082
• DOI: 10.1016/j.aim.2006.05.003

We extend the relation between random matrices and free probability theory from the level of expectations to the level of fluctuations. We show how the concept of “second order freeness”, which was introduced in Part I, allows one to understand global fluctuations of Haar distributed unitary random matrices. In particular, independence between the unitary ensemble and another ensemble goes in the large
N limit over into asymptotic second order freeness. Two important consequences of our general theory are: (i) we obtain a natural generalization of a theorem of Diaconis and Shahshahani to the case of several independent unitary matrices; (ii) we can show that global fluctuations in unitarily invariant multi-matrix models are not universal.