A functional CLT for partial traces of random matrices

DOI10.1007/S10959-019-00982-1MaRDI QIDQ2031019zbMATH OpenOpenAlexWikidataFDO

Authors Yanyan Li

Publication date 8 June 2021

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1803.02151

zbMATH Keywords

functional central limit theoremrandom matriceslinear eigenvalue statistic

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17)

Abstract: In this paper we show a functional central limit theorem for the sum of the first $lfloortnfloor$ diagonal elements of $f(Z)$ as a function in $t$, for $Z$ a random real symmetric or complex Hermitian $nimesn$ matrix. The result holds for orthogonal or unitarily invariant distributions of $Z$, in the cases when the linear eigenvalue statistic $operatornametrf(Z)$ satisfies a CLT. The limit process interpolates between the fluctuations of individual matrix elements as $f(Z{)}_{1,1}$ and of the linear eigenvalue statistic. It can also be seen as a functional CLT for processes of randomly weighted measures.

Recommendations

• Fluctuations of the traces of complex-valued random matrices
• Linear functionals of eigenvalues of random matrices
• Central limit theorem for linear eigenvalue statistics of random matrices with independent entries
• Central limit theorem for traces of large random symmetric matrices with independent matrix elements
• Functional central limit theorems for Wigner matrices

Cites work

• scientific article; zbMATH DE number 3599203 (Why is no real title available?)
• scientific article; zbMATH DE number 2051029 (Why is no real title available?)
• scientific article; zbMATH DE number 1465044 (Why is no real title available?)
• scientific article; zbMATH DE number 2174437 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• scientific article; zbMATH DE number 3403545 (Why is no real title available?)
• A maximal inequality for partial sums of finite exchangeable sequences of random variables
• Aging of spherical spin glasses
• An introduction to random matrices
• An invariance principle for triangular arrays
• Bridges and random truncations of random matrices
• CLT for fluctuations of \(\beta \)-ensembles with general potential
• Central limit theorem for linear eigenvalue statistics of orthogonally invariant matrix models
• Central limit theorem for linear eigenvalue statistics of random matrices with independent entries
• Central limit theorem for linear eigenvalue statistics of the Wigner and sample covariance random matrices
• Central limit theorem for linear spectral statistics of large dimensional separable sample covariance matrices
• Central limit theorems for biorthogonal ensembles and asymptotics of recurrence coefficients
• Convergence Criteria for Multiparameter Stochastic Processes and Some Applications
• Eigenvalue distribution of large random matrices
• Fluctuations of matrix elements of regular functions of Gaussian random matrices
• Fluctuations of matrix entries of regular functions of Wigner matrices
• Gaussian fluctuations for linear spectral statistics of large random covariance matrices
• Gaussian fluctuations for non-Hermitian random matrix ensembles
• Gaussian limit for determinantal random point fields.
• Global fluctuations for linear statistics of \({\beta}\)-Jacobi ensembles
• Integration with respect to the Haar measure on unitary, orthogonal and symplectic group
• Large deviations for Wigner's law and Voiculescu's non-commutative entropy
• Large deviations for random spectral measures and sum rules
• Limiting laws of linear eigenvalue statistics for Hermitian matrix models
• Normal limit theorems for symmetric random matrices
• On fluctuations of eigenvalues of random Hermitian matrices.
• On fluctuations of matrix entries of regular functions of Wigner matrices with non-identically distributed entries
• On global fluctuations for non-colliding processes
• On random matrices from the compact classical groups
• On the \(1/n\) expansion for some unitary invariant ensembles of random matrices
• Second order freeness and fluctuations of random matrices. II: Unitary random matrices
• Some limit theorems for the eigenvalues of a sample covariance matrix
• Sum rules via large deviations
• The Threefold Way. Algebraic Structure of Symmetry Groups and Ensembles in Quantum Mechanics
• The central limit theorem for local linear statistics in classical compact groups and related combinatorial identities
• Truncations of Haar distributed matrices, traces and bivariate Brownian bridges
• Universal Gaussian fluctuations of non-Hermitian matrix ensembles: from weak convergence to almost sure CLTs

Cited in

(5)

• Functional CLT for non-Hermitian random matrices
• Linear spectral statistics of sequential sample covariance matrices
• Fluctuations of the traces of complex-valued random matrices
• Functional central limit theorems for Wigner matrices
• Stochastic estimates for the trace of functions of matrices via Hadamard matrices

This page was built for publication: A functional CLT for partial traces of random matrices

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2031019)