The Wigner surmise for level spacing
Statement
For a GOE matrix, the distribution of the (normalized) eigenvalue gap is exactly ; Wigner's heuristic was that this small-matrix formula already captures the qualitative local spacing statistics of the full GOE for large , a claim later confirmed rigorously (to high precision, though not identically) by the exact correlation-function methods of Gaudin and Mehta.
Why is it true?
A 2x2 matrix is the smallest system that has a gap between two eigenvalues at all, and it is small enough to compute the exact joint density of its entries by hand — yet it already contains the essential mechanism (the gap depends on an off-diagonal entry that must vanish for a degenerate eigenvalue, and vanishing is a single extra condition, which is what produces repulsion instead of clustering).
Proof sketch
Step 1 (setup). Let be a GOE matrix with independent standard normal and independent normal with variance . Its characteristic polynomial gives eigenvalues where the gap is .
Step 2 (change of variables). Set ; a direct check of variances shows and are independent standard normal variables, and exactly, since simplifies to after the substitution — so , i.e. is times the radius of a standard 2D Gaussian vector.
Step 3 (polar coordinates). The radius of a standard 2D Gaussian vector is Rayleigh distributed with density (from integrating the joint Gaussian density over the angle, which contributes a factor , and the Jacobian from ). Substituting and using turns this into a density in for some constant .
Step 4 (normalize). Fixing so that the mean spacing (the convention used throughout the theory) pins down , giving exactly — matching the claimed formula.
Topics that use this theorem
Step-by-step proofs
No step-by-step proof yet for this theorem.
References
- Alan Edelman, N. Raj Rao (2005). Random matrix theory
- Wikipedia contributors (2024). Montgomery's pair correlation conjecture
- Wikipedia contributors (2024). Wigner semicircle distribution