Abstract |
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We give a generalization of random matrix
ensembles, which includes all classical ensembles. We derive the
joint-density function of the generalized ensemble by one simple
formula, giving a direct and unified way to compute the
density functions for all classical ensembles and various kinds
of new ensembles. An integration formula associated with the
generalized ensembles is given. We propose a taxonomy of
generalized ensembles encompassing all classical ensembles and
some new ones not considered before.
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Keywords
random matrix ensemble, Lie group, integration formula
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Mathematical Subject Classification
Primary: 15A52
Secondary: 58C35, 57S25
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Authors
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