Canonical moments and random spectral measures
Résumé
We study some connections between the random moment problem and the random matrix theory. A uniform pick in a space of moments can be lifted into the spectral probability measure of the pair (A;e) where A is a random matrix from a classical ensemble and e is a fixed unit vector. This random measure is a weighted sampling among the eigenvalues of A. We also study the large deviations properties of this random measure when the dimension of the matrix grows. The rate function for these large deviations involves the reversed Kullback information.