Random orthogonal matrices and the Cayley transform

Abstract: Random orthogonal matrices play an important role in probability and statistics, arising in multivariate analysis, directional statistics, and models of physical systems, among other areas. Calculations involving random orthogonal matrices are complicated by their constrained support. Accordingly, we parametrize the Stiefel and Grassmann manifolds, represented as subsets of orthogonal matrices, in terms of Euclidean parameters using the Cayley transform. We derive the necessary Jacobian terms for change of variables formulas. Given a density defined on the Stiefel or Grassmann manifold, these allow us to specify the corresponding density for the Euclidean parameters, and vice versa. As an application, we describe and illustrate through examples a Markov chain Monte Carlo approach to simulating from distributions on the Stiefel and Grassmann manifolds. Finally, we establish an asymptotic independent normal approximation for the distribution of the Euclidean parameters which corresponds to the uniform distribution on the Stiefel manifold. This result contributes to the growing literature on normal approximations to the entries of random orthogonal matrices or transformations thereof.