Central limit theorems for linear statistics of heavy tailed random matrices

DOI10.1007/S00220-014-1975-3zbMATH Open1294.60039arXiv1301.0448OpenAlexW3101643603MaRDI QIDQ2249761FDOQ2249761

Florent Benaych-Georges, Camille Male, Alice Guionnet

Publication date: 3 July 2014

Published in: Communications in Mathematical Physics (Search for Journal in Brave)

Abstract: We show central limit theorems (CLT) for the Stieltjes transforms or more general analytic functions of symmetric matrices with independent heavy tailed entries, including entries in the domain of attraction of $alpha$-stable laws and entries with moments exploding with the dimension, as in the adjacency matrices of Erd"os-R'enyi graphs. For the second model, we also prove a central limit theorem of the moments of its empirical eigenvalues distribution. The limit laws are Gaussian, but unlike to the case of standard Wigner matrices, the normalization is the one of the classical CLT for independent random variables.

Full work available at URL: https://arxiv.org/abs/1301.0448

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zbMATH Keywords

central limit theoremlinear statisticssymmetric matrices

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05)

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