Edge fluctuations of eigenvalues of Wigner matrices

DOI10.1007/978-3-0348-0490-5_17MaRDI QIDQ2840343zbMATH OpenOpenAlexFDO

Authors Hanna Döring, Peter Eichelsbacher

Publication date 18 July 2013

Published in Progress in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1203.2115

zbMATH Keywords

large deviationsmoderate deviationsfour moment theoremWigner random matricesGaussian ensembles

Mathematics Subject Classification ID

Large deviations (60F10) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (probabilistic aspects) (60B20)

Abstract: We establish a moderate deviation principle (MDP) for the number of eigenvalues of a Wigner matrix in an interval close to the edge of the spectrum. Moreover we prove a MDP for the $i$th largest eigenvalue close to the edge. The proof relies on fine asymptotics of the variance of the eigenvalue counting function of GUE matrices due to Gustavsson. The extension to large families of Wigner matrices is based on the Tao and Vu Four Moment Theorem. Possible extensions to other random matrix ensembles are commented.

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(10)

• Moderate deviations for extreme eigenvalues of beta-Laguerre ensembles
• Noise sensitivity of the top eigenvector of a Wigner matrix
• The method of cumulants for the normal approximation
• Moderate deviations for the eigenvalue counting function of Wigner matrices
• Limit theorems for linear spectrum statistics of orthogonal polynomial ensembles and their applications in random matrix theory
• Moderate deviations for the determinant of Wigner matrices
• Comparison theorem for some extremal eigenvalue statistics
• Precise deviations results for the maxima of some determinantal point processes: the upper tail
• Fluctuations of linear eigenvalues statistics for Wigner matrices: edge case
• Gaussian fluctuations and moderate deviations of eigenvalues in unitary invariant ensembles

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