Gaussian Fluctuations for Random Matrices with Correlated Entries

DOI10.1093/IMRN/RNM047MaRDI QIDQ5428212zbMATH OpenOpenAlexFDO

Authors Jeffrey H. Schenker, Hermann Schulz-Baldes

Publication date 28 November 2007

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

Full work available at URL https://arxiv.org/abs/math-ph/0607028

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Gaussian processes (60G15) Stochastic methods applied to problems in equilibrium statistical mechanics (82B31)

Abstract: For random matrix ensembles with non-gaussian matrix elements that may exhibit some correlations, it is shown that centered traces of polynomials in the matrix converge in distribution to a Gaussian process whose covariance matrix is diagonal in the basis of Chebyshev polynomials. The proof is combinatorial and adapts Wigner's argument showing the convergence of the density of states to the semicircle law.

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(21)

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• Random matrices with complex Gaussian entries
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• A random walk approach to linear statistics in random tournament ensembles
• Gaussian fluctuation for Gaussian Wishart matrices of overall correlation
• Fluctuations for matrix-valued Gaussian processes
• Gaussian fluctuation for smoothed local correlations in CUE
• On the global fluctuations of block Gaussian matrices
• Tridiagonal random matrix: Gaussian fluctuations and deviations
• Fluctuations of the traces of complex-valued random matrices
• Various equations for gap probabilities of coupled Gaussian matrices
• Local spectral statistics of Gaussian matrices with correlated entries
• Gaussian fluctuations for linear spectral statistics of large random covariance matrices
• Asymptotic correlations for Gaussian and Wishart matrices with external source
• Orthogonal polynomials and fluctuations of random matrices
• Fluctuation formula for complex random matrices
• Spectral statistics of the uni-modular ensemble
• Fluctuations of Wigner-type random matrices associated with symmetric spaces of class DIII and CI
• Gaussian fluctuations for products of random matrices
• Universality of random matrices with correlated entries
• On fluctuations of traces of large matrices over a non-commutative algebra

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