Random Matrix Theory

I was looking for an introduction to the topic of random matrices, and I came across this survey article by Edelman and Rao on the subject. It considers a somewhat broader point of view than just results on the random distribution of eigenvalues, which are the most famous results in the subject.

One thing I found interesting is that you can explicitly calculate the Jacobian of various matrix decompositions as nonlinear functions of the matrix entries. They use this to help explain results on the random distribution of eigenvalues. More on this approach can be found in Edelman’s thesis.