Gaussian fluctuation for the number of particles in Airy, Bessel, sine, and other determinantal random point fields

DOI10.1023/A:1018672622921zbMATH Open1041.82001arXivmath-ph/9907012OpenAlexW2994615828MaRDI QIDQ1592963FDOQ1592963

Authors: A. Soshnikov 

Publication date: 2000

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Abstract: We prove the Central Limit Theorem for the number of eigenvalues near the spectrum edge for hermitian ensembles of random matrices. To derive our results, we use a general theorem, essentially due to Costin and Lebowitz, concerning the Gaussian fluctuation of the number of particles in random point fields with determinantal correlation functions. As another corollary of Costin-Lebowitz Theorem we prove CLT for the empirical distribution function of the eigenvalues of random matrices from classical compact groups.

Full work available at URL: https://arxiv.org/abs/math-ph/9907012

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zbMATH Keywords

central limit theoremrandom matricesAiry kernelBessel kernelclassical compact groupsdeterminantal random point fields

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Limit theorems in probability theory (60F99) Classical equilibrium statistical mechanics (general) (82B05) Stochastic methods applied to problems in equilibrium statistical mechanics (82B31)

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• Bulk properties of the Airy line ensemble
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• FERMION AND BOSON RANDOM POINT PROCESSES AS PARTICLE DISTRIBUTIONS OF INFINITE FREE FERMI AND BOSE GASES OF FINITE DENSITY

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