On the variance of linear statistics of Hermitian random matrices

DOI10.5506/APHYSPOLB.47.1127MaRDI QIDQ5360139zbMATH OpenFDO

Authors

Publication date 27 September 2017

Published in Acta Physica Polonica B (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1511.00800

Mathematics Subject Classification ID

Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45) Random matrices (probabilistic aspects) (60B20)

Abstract: Linear statistics, a random variable build out of the sum of the evaluation of functions at the eigenvalues of a N times N random matrix,sum[j=1 to N]f(xj) or tr f(M), is an ubiquitous statistical characteristics in random matrix theory. Hermitian random matrix ensembles, under the eigenvalue-eigenvector decomposition give rise to the joint probability density functions of N random variables. We show that if f(.) is a polynomial of degree K, then the variance of trf(M), is of the form,sum[n=1 to K] n(d[n])square, and d[n] is related to the expansion coefficients c[n] of the polynomial f(x) =sum[n=0 to K] c[n] b Pn(x), where Pn(x) are polynomials of degree n, orthogonal with respect to the weights 1/[(b-x)(x-a)]^(1/2), [(b -x)(x -a)]^(1/2), [(b-x)(x-a)]^(1/2)/x; (0 < a < x < b), [(b-x)(x-a)]^(1/2)/[x(1-x)] ; (0 < a < x < b < 1), respectively.

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• Linear statistics of random matrix ensembles at the spectrum edge associated with the Airy kernel
• Variance calculations and the Bessel kernel
• Linear statistics of matrix ensembles in classical background
• Limiting laws of linear eigenvalue statistics for Hermitian matrix models
• On the linear statistics of Hermitian random matrices
• Center of mass distribution of the Jacobi unitary ensembles: Painlevé V, asymptotic expansions
• Painlevé transcendents and the Hankel determinants generated by a discontinuous Gaussian weight
• Global and local scaling limits for linear eigenvalue statistics of Jacobi \(\beta\)-ensembles
• Sums of random Hermitian matrices and an inequality by Rudelson

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