P-Distribution

Semicircle Distribution

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The semicircle distribution (also called Wigner’s semicircle distribution) is a continuous probability distribution shaped like a scaled semicircle. It is named after physicist Eugene Wigner (1902-1995).

Wigner semicircle distribution is centered at the origin (0, 0) with radius R > 0 on the interval [-R, R].

The probability density function (PDF) of the semicircle distribution is:

semicircle distribution
PDF for Wigner semicircle.

A variant is the power semicircle distribution PS(θ, R), which has PDF:

Where R is the range parameter and θ is the shape parameter.

Other semicircle distribution properties:

Cumulative distribution function (CDF):

CDF for the semicircle distribution.
  • Mean = 0
  • Median = 0
  • Mode = 0
  • Variance = R2/4
  • Skewness = 0
  • Excess kurtosis = -1

In free probability theory (the study of non-commutative random variables), this distribution is equivalent to the normal distribution in classical probability theory. It is also a scaled beta distribution.

Use of the Semicircle Distribution

The semicircle distribution plays an important role in many areas of mathematics, including applied mathematics. For example, physicist Wigner showed it is the asymptotic spectral measure of Wigner ensembles of random matrices; the local semicircle law states that the eigenvalue distribution of a Wigner matrix is close to Wigner’s semicircle distribution [1]. The semicircle law also appears in physics, in a quantum Brownian motion on the free boson Fock space [2]. The distribution is also the limiting distribution of a Markov chain of Young diagrams [3] and is the limiting distribution in the free version of the central limit theorem [4].

References

[1] Benaych-Georges, F. & Knowles, A. Lectures on the local semicircle law for Wigner matrices.
[2] Hashimoto, Y. DEFORMATIONS OF ITHE SEMICIRCLE LAW DERIVED FROM RANDOM WALKS ON FREE GROUPS.
[3] Arizmendi, O. & Perez-Abreu, V. (2010). ON THE NON-CLASSICAL INFINITE DIVISIBILITY OF POWER SEMICIRCLE DISTRIBUTIONS. Communications on Stochastic Analysis. Vol. 4, No. 2. 161-178. Retrieved December 30, 2021 from: http://personal.cimat.mx:8181/~pabreu/4-2-02%5B221%5D.pdf
[4] Barndorff-Nielsen, O. & Thorbjørnsen, S. Levy laws in free probability.

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