The Central Limit Theorem for Linear Eigenvalue Statistics of the Sum of Independent Matrices of Rank One

zbMATH Open1323.60015arXiv1310.2506MaRDI QIDQ2945217FDOQ2945217

Authors: Olivier Guédon, Anna Lytova, Alain Pajor, L. A. Pastur 

Publication date: 9 September 2015

Abstract: We consider $nimesn$ random matrices $M_n=su{m}_{alpha=1}^{m}a{u}_{alpha}mathbf{y}_{alpha}otimesmathbf{y}_{alpha}$, where $a{u}_{alpha}inmathbbR$, ${mathbf{y}_{alpha}}_{alpha=1}^m$ are i.i.d. isotropic random vectors of $mathbb{R}^n$, whose components are not necessarily independent. It was shown in arXiv:0710.1346 that if $m,nightarrowinfty$, $m/nightarrowcinlbrack0,infty)$, the Normalized Counting Measures of ${a{u}_{alpha}}_{alpha=1}^m$ converge weakly and ${mathbf{y}_{a}lpha}_{alpha=1}^m$ are extit{good} (see corresponding definition), then the Normalized Counting Measures of eigenvalues of $M_n$ converge weakly in probability to a non-random limit found in cite{Ma-Pa:67}. In this paper we indicate a subclass of good vectors, which we call extit{very good} and for which the linear eigenvalue statistics of the corresponding matrices converge in distribution to the Gaussian law, i.e., the Central Limit Theorem is valid. An important example of good vectors, studied in arXiv:0710.1346 are the vectors with log-concave distribution. We discuss the conditions for them, guaranteeing the validity of the Central Limit Theorem for linear eigenvalue statistics of corresponding matrices.

Full work available at URL: https://arxiv.org/abs/1310.2506

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Mathematics Subject Classification ID

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

Cited In (8)

• Gaussian fluctuations for linear spectral statistics of large random covariance matrices
• Joint CLT for top eigenvalues of sample covariance matrices of separable high dimensional long memory processes
• Central limit theorem for linear eigenvalue statistics of elliptic random matrices
• On the CLT for Linear Eigenvalue Statistics of a Tensor Model of Sample Covariance Matrices
• Central limit theorem for linear eigenvalue statistics for a tensor product version of sample covariance matrices
• On the limiting empirical measure of eigenvalues of the sum of rank one matrices with log-concave distribution
• Marchenko-Pastur law for a random tensor model
• On asymptotic behavior of multilinear eigenvalue statistics of random matrices

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