Random matrices: universality of local eigenvalue statistics

DOI10.1007/S11511-011-0061-3zbMATH Open1217.15043arXiv0906.0510OpenAlexW1998731194WikidataQ95736131 ScholiaQ95736131MaRDI QIDQ536618FDOQ536618

Authors: Terence Tao, Van Vu 

Publication date: 19 May 2011

Published in: Acta Mathematica (Search for Journal in Brave)

Abstract: In this paper, we consider the universality of the local eigenvalue statistics of random matrices. Our main result shows that these statistics are determined by the first four moments of the distribution of the entries. As a consequence, we derive the universality of eigenvalue gap distribution and $k$-point correlation and many other statistics (under some mild assumptions) for both Wigner Hermitian matrices and Wigner real symmetric matrices.

Full work available at URL: https://arxiv.org/abs/0906.0510

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zbMATH Keywords

Stieltjes transformrandom matricesempirical spectral distributionfour moment theoremDyson sine kernelfrequent eventsHadamard first variation formulaJohansson matricesLindenberg strategylocal eigenvalue statisticsminimax characterization of the eigenvaluesWigner Hermitian matrixWigner semi-circular law

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Inequalities; stochastic orderings (60E15) Stochastic approximation (62L20)

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