Moderate deviations for the eigenvalue counting function of Wigner matrices

MaRDI QIDQ2866823zbMATH OpenFDO

Authors Hanna Döring, Peter Eichelsbacher

Publication date 9 December 2013

Published in ALEA. Latin American Journal of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1104.0221, http://alea.impa.br/articles/v10/10-03.pdf

zbMATH Keywords

covariance matricesfour moment theoremGaussian ensembleslarge deviationsmoderate deviationsWigner random matrices

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (probabilistic aspects) (60B20) Large deviations (60F10)

Abstract: We establish a moderate deviation principle (MDP) for the number of eigenvalues of a Wigner matrix in an interval. The proof relies on fine asymptotics of the variance of the eigenvalue counting function of GUE matrices due to Gustavsson. The extension to large families of Wigner matrices is based on the Tao and Vu Four Moment Theorem and applies localization results by Erd"os, Yau and Yin. Moreover we investigate families of covariance matrices as well.

Recommendations

• Edge fluctuations of eigenvalues of Wigner matrices
• Moderate deviations for the determinant of Wigner matrices
• Moderate deviations for the spectral measure of certain random matrices.
• Moderate deviations for extreme eigenvalues of real-valued sample covariance matrices
• A note on the central limit theorem for the eigenvalue counting function of Wigner matrices

Cited in

(13)

• Moderate deviations for the spectral measure of certain random matrices.
• The method of cumulants for the normal approximation
• Gaussian fluctuations and moderate deviations of eigenvalues in unitary invariant ensembles
• Tridiagonal random matrix: Gaussian fluctuations and deviations
• Edge fluctuations of eigenvalues of Wigner matrices
• Moderate deviations for the determinant of Wigner matrices
• Precise deviations results for the maxima of some determinantal point processes: the upper tail
• Random covariance matrices: universality of local statistics of eigenvalues
• 90 years of the Lindeberg method
• Limit theorems for linear spectrum statistics of orthogonal polynomial ensembles and their applications in random matrix theory
• Moderate deviations for extreme eigenvalues of beta-Laguerre ensembles
• Moderate deviations for linear eigenvalue statistics of -ensembles
• A note on the central limit theorem for the eigenvalue counting function of Wigner matrices

This page was built for publication: Moderate deviations for the eigenvalue counting function of Wigner matrices

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2866823)