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

DOI10.1016/J.SPA.2016.04.030MaRDI QIDQ326832zbMATH OpenOpenAlexFDO

Authors Florent Benaych-Georges, Anna Maltsev

Publication date 12 October 2016

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

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

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)

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 $N^{-alpha/4}$.

Recommendations

• Heavy tailed random matrices: how they differ from the GOE, and open problems
• Covariance kernel of linear spectral statistics for half-heavy tailed Wigner matrices
• The spectrum of heavy tailed random matrices
• On fluctuations of global and mesoscopic linear statistics of generalized Wigner matrices
• Central limit theorems for linear statistics of heavy tailed random matrices

Cites work

• scientific article; zbMATH DE number 43570 (Why is no real title available?)
• scientific article; zbMATH DE number 765034 (Why is no real title available?)
• Asymptotic properties of large random matrices with independent entries
• CLT for linear spectral statistics of Wigner matrices
• Central limit theorem for linear eigenvalue statistics of random matrices with independent entries
• Central limit theorem for linear eigenvalue statistics of the Wigner and sample covariance random matrices
• Central limit theorem for traces of large random symmetric matrices with independent matrix elements
• Central limit theorems for linear statistics of heavy tailed random matrices
• Concentration inequalities. A nonasymptotic theory of independence
• Concentration of the spectral measure for large matrices
• Eigenvalue distribution of large random matrices
• Localization and delocalization for heavy tailed band matrices
• Localization and delocalization of eigenvectors for heavy-tailed random matrices
• On fluctuations of eigenvalues of random Hermitian matrices.
• On the convergence of the spectral empirical process of Wigner matrices
• Random matrices: universality of local eigenvalue statistics
• Rigidity of eigenvalues of generalized Wigner matrices
• Semicircle law on short scales and delocalization of eigenvectors for Wigner random matrices
• Spectrum of large random reversible Markov chains: heavy-tailed weights on the complete graph
• Spectrum of non-Hermitian heavy tailed random matrices
• The concentration of measure phenomenon
• The spectrum of heavy tailed random matrices

Cited in

(6)

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

This page was built for publication: Fluctuations of linear statistics of half-heavy-tailed random matrices

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q326832)