Matrix harmonic analysis at high temperature via the Dirichlet process

Abstract: We investigate harmonic analysis of random matrices of large size with their Dyson indices going simultaneous to zero, that is in the high temperature limit. In this regime, the limiting empirical spectral distribution and the multivariate Bessel function/Heckman-Opdam hypergeometric function of the empirical spectral distribution are intimately related to the Markov-Krein correspondence. The uniqueness, existence and other properties of the Markov-Krein correspondence are studied using the theory of the Dirichlet process.