Fluctuations for differences of linear eigenvalue statistics for sample covariance matrices
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Publication:3387055
Abstract: We prove a central limit theorem for the difference of linear eigenvalue statistics of a sample covariance matrix and its minor . We find that the fluctuation of this difference is much smaller than those of the individual linear statistics, as a consequence of the strong correlation between the eigenvalues of and . Our result identifies the fluctuation of the spatial derivative of the approximate Gaussian field in the recent paper by Dumitru and Paquette. Unlike in a similar result for Wigner matrices, for sample covariance matrices the fluctuation may entirely vanish.
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Cited in
(11)- Gaussian fluctuations for sample covariance matrices with dependent data
- On fluctuations of global and mesoscopic linear statistics of generalized Wigner matrices
- Fluctuation around the circular law for random matrices with real entries
- Optimal multi-resolvent local laws for Wigner matrices
- A review of exact results for fluctuation formulas in random matrix theory
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- Central Limit Theorem for Linear Eigenvalue Statistics of <scp>Non‐Hermitian</scp> Random Matrices
- Fluctuations of the diagonal entries of a large sample precision matrix
- A CLT for the difference of eigenvalue statistics of sample covariance matrices
- Spectral independence of almost fully correlated random matrices
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