 Wigner semicircle distribution

The unit-radius Wigner semicircle distribution has the displayed probability density function. Its graph is a rescaled upper semicircle. The area of the unit semicircle is $\pi /2$, so the factor $2/\pi$ normalizes it. Symmetry gives mean zero, and the substitution $x=\sin \theta$ gives variance $1/4$.

A scaled radius-$R$ version has density $2\sqrt{R^2-x^2}/(\pi R^2)$ on $(-R,R)$ and variance $R^2/4$. Rejection sampling from a uniform proposal on $(-1,1)$ accepts a proposed $x$ with probability $\sqrt{1-x^2}$; its average acceptance probability is $\pi /4$. Thus the number of proposals for one output has geometric distribution with expectation $4/\pi$. This law also describes the limiting empirical eigenvalue density in standard ensembles of large symmetric random matrices.