Central limit theorem for linear eigenvalue statistics of elliptic random matrices

DOI10.1007/S10959-015-0609-9zbMATH Open1388.60031arXiv1410.4586OpenAlexW2115674120MaRDI QIDQ325922FDOQ325922

Sean O'Rourke, D. Renfrew

Publication date: 11 October 2016

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Abstract: We consider a class of elliptic random matrices which generalize two classical ensembles from random matrix theory: Wigner matrices and random matrices with iid entries. In particular, we establish a central limit theorem for linear eigenvalue statistics of real elliptic random matrices under the assumption that the test functions are analytic. As a corollary, we extend the results of Rider and Silverstein to real iid random matrices.

Full work available at URL: https://arxiv.org/abs/1410.4586

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zbMATH Keywords

central limit theoremrandom matriceselliptic random matriceslinear eigenvalue statistics

Mathematics Subject Classification ID

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

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Cited In (22)

• Local elliptic law
• Central limit theorems for the real eigenvalues of large Gaussian random matrices
• Singular values distribution of squares of elliptic random matrices and type B Narayana polynomials
• Fluctuations of the spectrum in rotationally invariant random matrix ensembles
• CLT for non-Hermitian random band matrices with variance profiles
• Gaussian fluctuations for linear spectral statistics of deformed Wigner matrices
• On the Correlation Functions of the Characteristic Polynomials of Random Matrices with Independent Entries: Interpolation Between Complex and Real Cases
• Gaussian fluctuations for linear eigenvalue statistics of products of independent iid random matrices
• Fluctuation around the circular law for random matrices with real entries
• Mesoscopic central limit theorem for non-Hermitian random matrices
• Fluctuations in the spectrum of non-Hermitian i.i.d. matrices
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• Linear eigenvalue statistics of random matrices with a variance profile
• VICTORIA transform, RESPECT and REFORM methods for the proof of the \(G\)-elliptic law under \(G\)-Lindeberg condition and twice stochastic condition for the variances and covariances of the entries of some random matrices
• Partial Linear Eigenvalue Statistics for Non-Hermitian Random Matrices
• A review of exact results for fluctuation formulas in random matrix theory
• Random matrix products: universality and least singular values
• Process convergence of fluctuations of linear eigenvalue statistics of random circulant matrices
• Spectrum of heavy-tailed elliptic random matrices
• Real Eigenvalues of Elliptic Random Matrices
• Universality in the number variance and counting statistics of the real and symplectic Ginibre ensemble
• The Central Limit Theorem for Linear Eigenvalue Statistics of the Sum of Independent Matrices of Rank One

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