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Definition
Invariant
Let G be a group acting on a (data) set X. Then F:X→Y is invariant if
F(g∘x)=F(x)∀g∈G and x∈X
Random Matrix Theory
Orthogonal Invariance
Let x∈Rd be a random vector. We say that x (or its lawLaw(x)) is orthogonally invariant if for each (deterministic) orthogonal matrix Q∈O(d) we have
Law(Qx)=Law(x)
NOTE
The law is the distribution of the random vector.
We sometimes use “model” instead of “law” or “distribution” to remind us that our choice includes assumptions and judgements.
We are modelling a situation we might encounter in applications