Functional CLT for non-Hermitian random matrices (Q6147700)
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scientific article; zbMATH DE number 7788734
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English | Functional CLT for non-Hermitian random matrices |
scientific article; zbMATH DE number 7788734 |
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Functional CLT for non-Hermitian random matrices (English)
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16 January 2024
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Let \(X\) be an \(N\times N\) random matrix whose entries are independent and identically distributed real or complex random variables with zero mean and variance \(1/N\), and let \(A\) be a deterministic and norm-bounded \(N\times N\) matrix. The authors study fluctuations of the statistics \[ \text{Tr}f(X)A = \frac{1}{2\pi\text{i}}\oint_\gamma f(z) \text{Tr}\left((z-X)^{-1}A\right)\text{d}z\,, \] where \(f\) is a function which is analytic in a neighbourhood \(\mathcal{D}\) of the closed unit disk, and \(\gamma\) is a positively oriented curve in \(\mathcal{D}\) which encircles the spectrum \(\sigma(X)\) of \(X\). The authors show that the event where \(\sigma(X)\subset\mathcal{D}\) on which these statistics are well defined has high probability, and that the fluctuations of these statistics are asymptotically Gaussian with constant order as \(N\to\infty\).
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random matrix
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central limit theorem (CLT)
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Gaussian free field
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linear statistics
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