Edge fluctuations of eigenvalues of Wigner matrices

DOI10.1007/978-3-0348-0490-5_17zbMATH Open1271.60014arXiv1203.2115OpenAlexW101412494MaRDI QIDQ2840343FDOQ2840343

Authors: Hanna Döring, Peter Eichelsbacher 

Publication date: 18 July 2013

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

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.

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

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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)

Cited In (10)

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

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