A central limit theorem for the determinant of a Wigner matrix

DOI10.1016/J.AIM.2012.05.006zbMATH Open1248.60011arXiv1111.6300OpenAlexW2963818301MaRDI QIDQ436167FDOQ436167

Authors: Terence Tao, Van Vu 

Publication date: 30 July 2012

Published in: Advances in Mathematics (Search for Journal in Brave)

Abstract: We establish a central limit theorem for the log-determinant $log|det(M_n)|$ of a Wigner matrix $M_n$, under the assumption of four matching moments with either the GUE or GOE ensemble. More specifically, we show that this log-determinant is asymptotically distributed like $N(logsqrtn!-1/2logn,1/2logn{)}_R$ when one matches moments with GUE, and $N(logsqrtn!-1/4logn,1/4logn{)}_R$ when one matches moments with GOE.

Full work available at URL: https://arxiv.org/abs/1111.6300

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zbMATH Keywords

random matricesdeterminantsGaussian orthogonal ensemble (GOE)Gaussian unitary ensemble (GUE)

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20)

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Cited In (37)

• Gaussian fluctuations of the determinant of Wigner matrices
• The volume of random simplices from elliptical distributions in high dimension
• The singular values of the GOE
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• The Euclidean distance degree of an algebraic variety
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