Limit theorems for Jacobi ensembles with large parameters

Abstract

Consider Jacobi random matrix ensembles with the distributions $$c_{k_1,k_2,k_3}\prod_{1\leq i -1\leq x_1\le ...\le x_N\leq 1\}.$$ For $(k_1,k_2,k_3)=\kappa\cdot (a,b,1)$ with $a,b>0$ fixed, we derive a central limit theorem for the distributions above for $\kappa\to\infty$. The drift and the inverse of the limit covariance matrix are expressed in terms of the zeros of classical Jacobi polynomials. We also rewrite the CLT in trigonometric form and determine the eigenvalues and eigenvectors of the limit covariance matrices. These results are related to corresponding limits for $\beta$-Hermite and $\beta$-Laguerre ensembles for $\beta\to\infty$ by Dumitriu and Edelman and by Voit.