Publication:2042871

DOI10.1214/21-EJP591zbMATH Open1477.60016arXiv2002.02438OpenAlexW3157766147MaRDI QIDQ2042871FDOQ2042871

Dominik Schröder, László Erdős, Giorgio Cipolloni

Publication date: 21 July 2021

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: We extend our recent result [Cipolloni, ErdH{o}s, Schr"oder 2019] on the central limit theorem for the linear eigenvalue statistics of non-Hermitian matrices $X$ with independent, identically distributed complex entries to the real symmetry class. We find that the expectation and variance substantially differ from their complex counterparts, reflecting (i) the special spectral symmetry of real matrices onto the real axis; and (ii) the fact that real i.i.d. matrices have many real eigenvalues. Our result generalizes the previously known special cases where either the test function is analytic [O'Rourke, Renfrew 2016] or the first four moments of the matrix elements match the real Gaussian [Tao, Vu 2015; Kopel 2015]. The key element of the proof is the analysis of several weakly dependent Dyson Brownian motions (DBMs). The conceptual novelty of the real case compared with [Cipolloni, ErdH{o}s, Schr"oder 2019] is that the correlation structure of the stochastic differentials in each individual DBM is non-trivial, potentially even jeopardising its well-posedness.

Full work available at URL: https://arxiv.org/abs/2002.02438

zbMATH Keywords

central limit theoremlinear statisticslocal lawDyson Brownian motionGirko's formula

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20)

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Cited In (17)

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• Fluctuation of Matrix Entries and Application to Outliers of Elliptic Matrices
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