Central limit theorem for linear eigenvalue statistics of the Wigner and sample covariance random matrices
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Publication:3173737
zbMATH Open1228.15016arXiv1101.3249MaRDI QIDQ3173737FDOQ3173737
Publication date: 10 October 2011
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.
Full work available at URL: https://arxiv.org/abs/1101.3249
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central limit theoremrandom matricessample covariance matrixlinear eigenvalue statisticsFourier transformsWigner ensembleHermitian ensemble
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)
Cited In (66)
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