Central limit theorem for linear eigenvalue statistics of the Wigner and sample covariance random matrices

MaRDI QIDQ3173737zbMATH OpenFDO

Authors M. V. Shcherbina

Publication date 10 October 2011

Full work available at URL https://arxiv.org/abs/1101.3249

zbMATH Keywords

central limit theoremrandom matricessample covariance matrixlinear eigenvalue statisticsFourier transformsWigner ensembleHermitian ensemble

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Hermitian, skew-Hermitian, and related matrices (15B57) Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05)

Abstract: We consider two classical ensembles of the random matrix theory: the Wigner matrices and sample covariance matrices, and prove Central Limit Theorem for linear eigenvalue statistics under rather weak (comparing with results known before) conditions on the number of derivatives of the test functions and also on the number of the entries moments. Moreover, we develop a universal method which allows one to obtain automatically the bounds for the variance of differentiable test functions, if there is a bound for the variance of the trace of the resolvent of random matrix. The method is applicable not only to the Wigner and sample covariance matrices, but to any ensemble of random matrices.

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Cited in

(82)

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• Applications of mesoscopic CLTs in random matrix theory
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• Eigenvalue variance bounds for Wigner and covariance random matrices
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• Spectra of overlapping Wishart matrices and the Gaussian free field
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• On a generalization of the CLT for linear eigenvalue statistics of Wigner matrices with inhomogeneous fourth moments
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• Fixed energy universality of Dyson Brownian motion
• Central limit theorem for fluctuations of linear eigenvalue statistics of large random graphs: diluted regime
• Regularity conditions in the CLT for linear eigenvalue statistics of Wigner matrices
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• Random matrices and random graphs
• The Central Limit Theorem for Linear Eigenvalue Statistics of the Sum of Independent Matrices of Rank One

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