A central limit theorem is obtained for orthogonally invariant random variables on Pn, the space of n × n real, positive definite symmetric matrices. The derivation requires the Taylor expansion of the spherical functions for the general linear group GL(n, R). This extends from the case n = 3 a result of Terras (J. Multivariate Anal. 23 (1987), 13-36).
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Numerical Analysis
- Statistics, Probability and Uncertainty