Generates matrices of Haar measure for beta=1,2

Author: jiahao

src/HaarMeasure.jl

@@ -0,0 +1,15 @@
+
+# Computes samplex of real or complex Haar matrices of size nxn
+function HaarMatrix(n::Integer, beta::Integer)
+    if beta==1
+        M=randn(n,n)
+    elseif beta==2
+        M=randn(n,n)+im*randn(n,n)
+    else
+        error(string("beta = ",beta, " not implemented."))
+    end
+    qr(M)[1]
+end
+
+
+