Distribution of linear statistics of singular values of the product of random matrices (Q2405148): Difference between revisions

The authors consider products of the form \(\mathbf X^{(1)}\mathbf X^{(2)}\), where \(\mathbf X^{(1)}\) and \(\mathbf X^{(2)}\) are two non-symmetric \(n\times n\)-random matrices whose entries are i.i.d. random variables with zero mean, unit variance, and finite fourth moment. Let \(s_1,\ldots,s_n\) be the singular values of \(\mathbf W := n^{-1} \mathbf X^{(1)}\mathbf X^{(2)}\). The authors prove a central limit theorem for the linear statistics \(\sum_{k=1}^n f(s_k^2)\), where \(f\) is a sufficiently regular function. The variance of the limit normal distribution depends on the fourth cumulant of the matrix entries.