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A smooth transition from Wishart to GOE

Abstract

It is well known that an n×nn \times n Wishart matrix with dd degrees of freedom is close to the appropriately centered and scaled Gaussian Orthogonal Ensemble (GOE) if dd is large enough. Recent work of Bubeck, Ding, Eldan, and Racz, and independently Jiang and Li, shows that the transition happens when d=Θ(n3)d = \Theta ( n^{3} ). Here we consider this critical window and explicitly compute the total variation distance between the Wishart and GOE matrices when d/n3c(0,)d / n^{3} \to c \in (0, \infty). This shows, in particular, that the phase transition from Wishart to GOE is smooth.

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