Linear functions on the classical matrix groups

Let $M$ be a random matrix in the orthogonal group $Ø_n$, distributed according to Haar measure, and let $A$ be a fixed $n\times n$ matrix over $\R$ such that $\tr(AA^t)=n$. Then the total variation distance of the random variable $\tr(AM)$ to standard normal is bounded by $2\sqrt{3}/(n-1)$, and this rate is sharp up to the constant. Analogous results are obtained for $M$ a random unitary matrix and $A$ a fixed $n\times n$ matrix over $\C$. The proofs are applications of a new abstract normal approximation theorem which extends Stein's method of exchangeable pairs to situations in which continuous symmetries are present.

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