Convergence rate of expected spectral distributions of large random matrices. I: Wigner matrices (Q686753)

Let \(W_ n\) be an \(n\times n\) symmetric matrix (Wigner matrix) with eigenvalues \(\lambda_ 1\leq\lambda_ 2\leq\cdots\leq\lambda_ n\). Then its spectral distribution is defined by \(F_ n(x)={1\over n}\#\{i:\lambda_ i\leq x\}\), where \(\#\{Q\}\) denotes the number of entries in the set \(Q\). \textit{E. P. Wigner} [Ann. Math., II. Ser. 62, 548- 564 (1955; Zbl 0067.084) and ibid. 67, 325-327 (1958; Zbl 0085.132)] proved that the expected spectral distribution of Wigner matrix tends to the so-called semicircular law. The paper develops a new methodology to establish convergence rates of empirical spectral distributions of high-dimensional random matrices. The rate of convergence for Wigner matrices established in the paper is \(O(n^{-1/4})\). [Part II see below].