A note on the exact simulation of a random eigenvalue of a gue matrix
Abstract
We develop a simple, exact algorithm to generate random variables whose density is proportional to squared Hermite functions. As an application, we show how to generate a randomly chosen eigenvalue of a matrix from the Gaussian Unitary Ensemble ( gue ) in O ( n 2 / 3 ) expected time.
Fields of Study & Subjects
Advanced Mathematical Theories and Applications
Publication details
- Journal / source
- Statistics & Probability Letters
- Volume
- 235
- Pages
- 110736–110736
- Publication date
- 12 March 2026
- Language
- EN