Central limit theorem for linear eigenvalue statistics of random matrices with independent entries

DOI10.1214/09-AOP452zbMATH Open1180.15029arXiv0809.4698OpenAlexW1994231597MaRDI QIDQ1035862FDOQ1035862

Authors: Anna Lytova, L. A. Pastur 

Publication date: 4 November 2009

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: We consider $nimesn$ real symmetric and Hermitian Wigner random matrices $n^{-1/2}W$ with independent (modulo symmetry condition) entries and the (null) sample covariance matrices $n^{-1}{X}^{*}X$ with independent entries of $mimesn$ matrix $X$. Assuming first that the 4th cumulant (excess) $kapp{a}_4$ of entries of $W$ and $X$ is zero and that their 4th moments satisfy a Lindeberg type condition, we prove that linear statistics of eigenvalues of the above matrices satisfy the central limit theorem (CLT) as $noinfty$, $moinfty$, $m/nocin[0,infty)$ with the same variance as for Gaussian matrices if the test functions of statistics are smooth enough (essentially of the class $mathbf{C}^5$). This is done by using a simple ``interpolation trick from the known results for the Gaussian matrices and the integration by parts, presented in the form of certain differentiation formulas. Then, by using a more elaborated version of the techniques, we prove the CLT in the case of nonzero excess of entries again for essentially $mathbb{C}^5$ test function. Here the variance of statistics contains an additional term proportional to $kapp{a}_4$. The proofs of all limit theorems follow essentially the same scheme.

Full work available at URL: https://arxiv.org/abs/0809.4698

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zbMATH Keywords

Laplace transformStieltjes transformcentral limit theoremrandom matrixWishart ensemblegeneralized Fourier transformlinear eigenvalue statisticssample covariance matricesGaussian orthogonal ensemble

Mathematics Subject Classification ID

Analysis of variance and covariance (ANOVA) (62J10) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Central limit and other weak theorems (60F05)

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