Wigner semicircle distribution

Wigner semicircle

Probability density function
Cumulative distribution function
Parameters	${\displaystyle R>0\!}$ radius (real)
Support	${\displaystyle x\in [-R;+R]\!}$
PDF	${\displaystyle {\frac {2}{\pi R^{2}}}\,{\sqrt {R^{2}-x^{2}}}\!}$
CDF	${\displaystyle {\frac {1}{2}}+{\frac {x{\sqrt {R^{2}-x^{2}}}}{\pi R^{2}}}+{\frac {\arcsin \!\left({\frac {x}{R}}\right)}{\pi }}\!}$ for ${\displaystyle -R\leq x\leq R}$
Mean	${\displaystyle 0\,}$
Median	${\displaystyle 0\,}$
Mode	${\displaystyle 0\,}$
Variance	${\displaystyle {\frac {R^{2}}{4}}\!}$
Skewness	${\displaystyle 0\,}$
Excess kurtosis	${\displaystyle -1\,}$
Entropy	${\displaystyle \ln(\pi R)-{\frac {1}{2}}\,}$
MGF	${\displaystyle 2\,{\frac {I_{1}(R\,t)}{R\,t}}}$
CF	${\displaystyle 2\,{\frac {J_{1}(R\,t)}{R\,t}}}$

The Wigner semicircle distribution, named after the physicist Eugene Wigner, is the probability distribution on [−R, R] whose probability density function f is a scaled semicircle (i.e., a semi-ellipse) centered at (0, 0):

${\displaystyle f(x)={2 \over \pi R^{2}}{\sqrt {R^{2}-x^{2}\,}}\,}$

for −R ≤ x ≤ R, and f(x) = 0 if |x| > R. The parameter R is commonly referred to as the "radius" parameter of the distribution.

The distribution arises as the limiting distribution of the eigenvalues of many random symmetric matrices, that is, as the dimensions of the random matrix approach infinity. The distribution of the spacing or gaps between eigenvalues is addressed by the similarly named Wigner surmise.