Partial linear eigenvalue statistics for non-Hermitian random matrices

DOI10.1137/S0040585X97T991179MaRDI QIDQ6331381arXivFDO

Authors Shane O Rourke, N. Williams

Publication date 18 December 2019

Published in arXiv

Full work available at URL https://doi.org/10.1137/S0040585X97T991179

Mathematics Subject Classification ID

Probability theory and stochastic processes (60-XX) Statistics (62-XX)

arXiv classification

math-phmath.MPmath.PR

Abstract: For an $nimesn$ independent-entry random matrix $X_n$ with eigenvalues $lambd{a}_1,ldots,lambd{a}_n$, the seminal work of Rider and Silverstein asserts that the fluctuations of the linear eigenvalue statistics $su{m}_{i=1}^{n}f(lambd{a}_i)$ converge to a Gaussian distribution for sufficiently nice test functions $f$. We study the fluctuations of $su{m}_{i=1}^{n-K}f(lambd{a}_i)$, where $K$ randomly chosen eigenvalues have been removed from the sum. In this case, we identify the limiting distribution and show that it need not be Gaussian. Our results hold for the case when $K$ is fixed as well as the case when $K$ tends to infinity with $n$. The proof utilizes the predicted locations of the eigenvalues introduced by E. Meckes and M. Meckes. As a consequence of our methods, we obtain a rate of convergence for the empirical spectral distribution of $X_n$ to the circular law in Wasserstein distance, which may be of independent interest.

Cited in

(1)

• Partial linear eigenvalue statistics for Wigner and sample covariance random matrices

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