Stable distributions and domains of attraction for unitarily invariant Hermitian random matrix ensembles
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We consider random matrix ensembles on the Hermitian matrices that are heavy tailed, in particular not all moments exist, and that are invariant under the conjugate action of the unitary group. The latter property entails that the eigenvectors are Haar distributed and, therefore, factorise from the eigenvalue statistics. We prove a classification for stable matrix ensembles of this kind of matrices represented in terms of matrices, their eigenvalues and their diagonal entries with the help of the classification of the multivariate stable distributions and the harmonic analysis on symmetric matrix spaces. Moreover, we identify sufficient and necessary conditions for their domains of attraction. To illustrate our findings we discuss for instance elliptical invariant random matrix ensembles and Pólya ensembles. As a byproduct we generalise the derivative principle on the Hermitian matrices to general tempered distributions.
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