Sixty years of moments for random matrices

DOI10.4171/186-1/15zbMATH Open1401.60012arXiv1612.06725OpenAlexW4252589299MaRDI QIDQ4686129FDOQ4686129

Thomas Kriecherbauer, Werner Kirsch

Publication date: 9 October 2018

Published in: Non-Linear Partial Differential Equations, Mathematical Physics, and Stochastic Analysis (Search for Journal in Brave)

Abstract: This is an elementary review, aimed at non-specialists, of results that have been obtained for the limiting distribution of eigenvalues and for the operator norms of real symmetric random matrices via the method of moments. This method goes back to a remarkable argument of Eugen Wigner some sixty years ago which works best for independent matrix entries, as far as symmetry permits, that are all centered and have the same variance. We then discuss variations of this classical result for ensembles for which the variance may depend on the distance of the matrix entry to the diagonal, including in particular the case of band random matrices, and/or for which the required independence of the matrix entries is replaced by some weaker condition. This includes results on ensembles with entries from Curie-Weiss random variables or from sequences of exchangeable random variables that have been obtained quite recently.

Full work available at URL: https://arxiv.org/abs/1612.06725

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zbMATH Keywords

method of momentsreal symmetric random matricesCurie-Weiss random variables

Mathematics Subject Classification ID

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

Cited In (3)

• Spectral norm bounds for block Markov chain random matrices
• Clustering in block Markov chains
• Random matrices with exchangeable entries

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