Central limit theorem for linear eigenvalue statistics of elliptic random matrices

DOI10.1007/S10959-015-0609-9MaRDI QIDQ325922zbMATH OpenOpenAlexFDO

Authors Sean O'Rourke, D. Renfrew

Publication date 11 October 2016

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

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

zbMATH Keywords

central limit theoremelliptic random matriceslinear eigenvalue statisticsrandom matrices

Mathematics Subject Classification ID

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

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.

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