The "north pole problem" and random orthogonal matrices

Abstract: This paper is motivated by the following observation. Take a 3 x 3 random (Haar distributed) orthogonal matrix $Γ$, and use it to "rotate" the north pole, $x_0$ say, on the unit sphere in $R^3$. This then gives a point $u=Γx_0$ that is uniformly distributed on the unit sphere. Now use the same orthogonal matrix to transform u, giving $v=Γu=Γ^2 x_0$. Simulations reported in Marzetta et al (2002) suggest that v is more likely to be in the northern hemisphere than in the southern hemisphere, and, morever, that $w=Γ^3 x_0$ has higher probability of being closer to the poles $\pm x_0$ than the uniformly distributed point u. In this paper we prove these results, in the general setting of dimension $p\ge 3$, by deriving the exact distributions of the relevant components of u and v. The essential questions answered are the following. Let x be any fixed point on the unit sphere in $R^p$, where $p\ge 3$. What are the distributions of $U_2=x'Γ^2 x$ and $U_3=x'Γ^3 x$? It is clear by orthogonal invariance that these distribution do not depend on x, so that we can, without loss of generality, take x to be $x_0=(1,0,...,0)'\in R^p$. Call this the "north pole". Then $x_0'Γ^ k x_0$ is the first component of the vector $Γ^k x_0$. We derive stochastic representations for the exact distributions of $U_2$ and $U_3$ in terms of random variables with known distributions.