A Functional Limit Theorem for the Sine-Process

DOI10.1093/IMRN/RNY104MaRDI QIDQ5233838zbMATH OpenOpenAlexWikidataFDO

Authors A. V. Dymov, Alexander I. Bufetov

Publication date 9 September 2019

Published in IMRN. International Mathematics Research Notices (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1701.00111

zbMATH Keywords

Donsker invariance principlesine-process

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Functional limit theorems; invariance principles (60F17) Stationary stochastic processes (60G10) Gaussian processes (60G15) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Abstract: The main result of this paper is a functional limit theorem for the sine-process. In particular, we study the limit distribution, in the space of trajectories, for the number of particles in a growing interval. The sine-process has the Kolmogorov property and satisfies the Central Limit Theorem, but our functional limit theorem is very different from the Donsker Invariance Principle. We show that the time integral of our process can be approximated by the sum of a linear Gaussian process and independent Gaussian fluctuations whose covariance matrix is computed explicitly. We interpret these results in terms of the Gaussian Free Field convergence for the random matrix models. The proof relies on a general form of the multidimensional Central Limit Theorem under the sine-process for linear statistics of two types: those having growing variance and those with bounded variance corresponding to observables of Sobolev regularity $1/2$.

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Cited in

(7)

• The maximum deviation of the \(\mathrm{sine}_\beta\) counting process
• A survey on determinantal point processes
• From sine kernel to Poisson statistics
• CLT for fluctuations of linear statistics in the sine-beta process
• Fluctuations of the Process of Moduli for the Ginibre and Hyperbolic Ensembles
• Functional central limit theorems for constrained Mittag-Leffler ensemble in hard edge scaling
• On the sinusoidal limit of stationary time series

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