Linear statistics of matrix ensembles in classical background

DOI10.1002/MMA.3824MaRDI QIDQ3188532zbMATH OpenOpenAlexFDO

Authors

Publication date 11 August 2016

Published in Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1506.07473

zbMATH Keywords

asymptoticsgamma distributionlinear spectral statisticsmoment-generating functionorthogonal ensemblesorthogonal polynomialsrandom matrices

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20)

Abstract: Given a joint probability density function of $N$ real random variables, ${x_j}_{j=1}^N,$ obtained from the eigenvector-eigenvalue decomposition of $NimesN$ random matrices, one constructs a random variable, the linear statistics, defined by the sum of smooth functions evaluated at the eigenvalues or singular values of the random matrix, namely, $su{m}_{j=1}^{N}F(x_j).$ For the jpdfs obtained from the Gaussian and Laguerre ensembles, we compute, in this paper the moment generating function $$ where $$ denotes expectation value over the Orthogonal ($$) and Symplectic ($$ ensembles, in the form one plus a Schwartz function, none vanishing over $mathbbR$ for the Gaussian ensembles and $mathbb{R}^{+}$ for the Laguerre ensembles. These are ultimately expressed in the form of the determinants of identity plus a scalar operator, from which we obtained the large $N$ asymptotic of the linear statistics from suitably scaled $F(cdot).$

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Cites work

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Cited in

(8)

• On fluctuations of global and mesoscopic linear statistics of generalized Wigner matrices
• Tracy-Widom distributions for the Gaussian orthogonal and symplectic ensembles revisited: a skew-orthogonal polynomials approach
• Linear statistics of random matrix ensembles at the spectrum edge associated with the Airy kernel
• Mock-Gaussian behaviour for linear statistics of classical compact groups
• Center of mass distribution of the Jacobi unitary ensembles: Painlevé V, asymptotic expansions
• Painlevé transcendents and the Hankel determinants generated by a discontinuous Gaussian weight
• Linear differential equations for the resolvents of the classical matrix ensembles
• Global and local scaling limits for linear eigenvalue statistics of Jacobi \(\beta\)-ensembles

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