Fluctuations of linear statistics of half-heavy-tailed random matrices

DOI10.1016/J.SPA.2016.04.030zbMATH Open1388.60021arXiv1410.5624OpenAlexW2264553452MaRDI QIDQ326832FDOQ326832

Authors: Florent Benaych-Georges, Anna Maltsev 

Publication date: 12 October 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: We consider a Wigner matrix $A$ with entries tail decaying as $x^{-alpha}$ with $2<alpha<4$ for large $x$ and study fluctuations of linear statistics $N^{-1}operatornameTrvarphi(A)$. The behavior of such fluctuations has been understood for both heavy-tailed matrices (i.e. $alpha<2$) and light-tailed matrices (i.e. $alpha>4$). This paper fills in the gap of understanding for $2<alpha<4$. We find that while linear spectral statistics for heavy-tailed matrices have fluctuations of order $N^{-1/2}$ and those for light-tailed matrices have fluctuations of order $N^{-1}$, the linear spectral statistics for half-heavy-tailed matrices exhibit an intermediate $alpha$-dependent order of $N^{-alpha/4}$.

Full work available at URL: https://arxiv.org/abs/1410.5624

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zbMATH Keywords

central limit theoremrandom matricesheavy-tailed random variables

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05)

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Cited In (5)

• Corrigendum to: ``Fluctuations of linear statistics of half-heavy-tailed random matrices
• Local tail statistics of heavy-tailed random matrix ensembles with unitary invariance
• Single eigenvalue fluctuations of general Wigner-type matrices
• Density and spacings for the energy levels of quadratic Fermi operators
• Covariance kernel of linear spectral statistics for half-heavy tailed Wigner matrices

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