Partial linear eigenvalue statistics for Wigner and sample covariance random matrices

Publication date 15 September 2015

Abstract: Let

M_{n}

be a

n i m e s n

Wigner or sample covariance random matrix, and let

m u_{1} (M_{n}), m u_{2} (M_{n}), ..., m u_{n} (M_{n})

denote the unordered eigenvalues of

M_{n}

. We study the fluctuations of the partial linear eigenvalue statistics

sum_{i=1}^{n-k} f(mu_i(M_n))

as

n i g h t a r r o w i n f t y

for sufficiently nice test functions

f

. We consider both the case when

k

is fixed and when

m i n k, n - k

tends to infinity with

n

.

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