A rate of convergence when generating stable invariant Hermitian random matrix ensembles
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Recently, we have classified Hermitian random matrix ensembles that are invariant under the conjugate action of the unitary group and stable with respect to matrix addition. Apart from a scaling and a shift, the whole information of such an ensemble is encoded in the stability exponent determining the “heaviness” of the tail and the spectral measure that describes the anisotropy of the probability distribution. In the present work, we address the question how these ensembles can be generated by the knowledge of the latter two quantities. We consider a sum of a specific construction of identically and independently distributed random matrices that are based on Haar distributed unitary matrices and a stable random vectors. For this construction, we derive the rate of convergence in the supremums norm and show that this rate is optimal in the class of all stable invariant random matrices for a fixed stability exponent. As a consequence we also give the rate of convergence in the total variation distance.
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