Wigner semicircle distribution
|Probability density function|
Plot of the Wigner semicircle PDF
|Cumulative distribution function|
Plot of the Wigner semicircle CDF
|Probability density function (pdf)|
|Cumulative distribution function (cdf)|
|Moment-generating function (mgf)|
The Wigner semicircle distribution, named after the physicist Eugene Wigner, is the probability distribution supported on the interval [−R, R] the graph of whose probability density function f is a semicircle of radius R centered at (0, 0) and then suitably normalized (so that it is really a semi-ellipse):
for −R < x < R, and f(x) = 0 if x > R or x < − R.
This distribution arises as the limiting distribution of eigenvalues of many random symmetric matrices as the size of the matrix approaches infinity.
For positive integers n, the 2nth moment of this distribution is
where X is any random variable with this distribution and Cn is the nth Catalan number
so that the moments are the Catalan numbers if R = 2. (Because of symmetry, all of the odd-order moments are zero.)
In free probability theory, the role of cumulants is occupied by "free cumulants", whose relation to ordinary cumulants is simply that the role of the set of all partitions of a finite set in the theory of ordinary cumulants is replaced by the set of all noncrossing partitions of a finite set. Just the cumulants of degree more than 2 of a probability distribution are all zero if and only if the distribution is normal, so also, the free cumulants of degree more than 2 of a probability distribution are all zero if and only if the distribution is Wigner's semicircle distribution.
Making the substitution into the defining equation for the moment generating function it can be seen that:
which can be solved (see Abramowitz and Stegun §9.6.18) to yield:
where is the modified Bessel function. Similarly, the characteristic function is given by:
In the limit of approaching zero, the Wigner semicircle distribution becomes a Dirac delta function.
- The W.s.d. is the limit of the Kesten-McKay distributions, as the parameter tends to infinity.
- In number-theoretic literature, the Wigner distribution is sometimes called the Sato-Tate distribution. See Sato-Tate conjecture.
- Milton Abramowitz and Irene A. Stegun, eds. Handbook of Mathematical Functions with Formulas, Graphs, and Mathematical Tables. New York: Dover, 1972.