Gaussian fluctuations in complex sample covariance matrices

DOI10.1214/EJP.v11-378zbMath1129.15022OpenAlexW2016218178MaRDI QIDQ2461954

Zhonggen Su

Publication date: 23 November 2007

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/128305

zbMATH Keywords

asymptotic analysiscentral limit theoremrandom matrixCostin-Lebowitz-Soshnikov theoremlimiting distribution of eigenvaluesRH-problems

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Random matrices (algebraic aspects) (15B52)

Related Items (7)

EIGENVALUE VARIANCE BOUNDS FOR WIGNER AND COVARIANCE RANDOM MATRICES ⋮ Berry-Esseen bounds and Cramér type large deviations for eigenvalues of random matrices ⋮ Limit theorems for linear spectrum statistics of orthogonal polynomial ensembles and their applications in random matrix theory ⋮ Local Marchenko–Pastur law at the hard edge of the sample covariance ensemble ⋮ Gaussian fluctuations of eigenvalues in log-gas ensemble: bulk case. I ⋮ Gaussian fluctuations of eigenvalues of random Hermitian matrices associated with fixed and varying weights ⋮ Gaussian fluctuations and moderate deviations of eigenvalues in unitary invariant ensembles

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