Covariance kernel of linear spectral statistics for half-heavy tailed Wigner matrices

DOI10.1142/S201032632250054XzbMATH Open1518.60032arXiv2010.04219OpenAlexW3092154399WikidataQ114071572 ScholiaQ114071572MaRDI QIDQ6133489FDOQ6133489

Authors: Asad Lodhia, Anna Maltsev 

Publication date: 24 July 2023

Published in: Random Matrices: Theory and Applications (Search for Journal in Brave)

Abstract: In this paper we analyze the covariance kernel of the Gaussian process that arises as the limit of fluctuations of linear spectral statistics for Wigner matrices with a few moments. More precisely, the process we study here corresponds to Hermitian matrices with independent entries that have $alpha$ moments for $2<alpha<4$. We obtain a closed form $alpha$-dependent expression for the covariance of the limiting process resulting from fluctuations of the Stieltjes transform by explicitly integrating the known double Laplace transform integral formula obtained in the literature. We then express the covariance as an integral kernel acting on bounded continuous test functions. The resulting formulation allows us to offer a heuristic interpretation of the impact the typical large eigenvalues of this matrix ensemble have on the covariance structure.

Full work available at URL: https://arxiv.org/abs/2010.04219

Recommendations

• Fluctuations of linear statistics of half-heavy-tailed random matrices
• Gaussian fluctuations for linear spectral statistics of large random covariance matrices
• Partial linear eigenvalue statistics for Wigner and sample covariance random matrices
• Gaussian fluctuations for linear spectral statistics of deformed Wigner matrices
• On the convergence of the spectral empirical process of Wigner matrices

zbMATH Keywords

Gaussian processesrandom matrices (probabilistic aspects)central limit and other weak theorems

Mathematics Subject Classification ID

Gaussian processes (60G15) Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05)

Cites Work

• Spectral analysis of large dimensional random matrices
• An introduction to random matrices
• Central limit theorems for biorthogonal ensembles and asymptotics of recurrence coefficients
• Fluctuations of linear eigenvalue statistics of \(\beta \) matrix models in the multi-cut regime
• Title not available (Why is that?)
• On the Eigenvalues of Random Matrices
• Reflections on a Pair of Theorems by Budan and Fourier
• On fluctuations of eigenvalues of random Hermitian matrices.
• Central limit theorems for linear statistics of heavy tailed random matrices
• Central limit theorem for linear eigenvalue statistics of the Wigner and sample covariance random matrices
• Large sample covariance matrices and high-dimensional data analysis
• Poisson statistics for the largest eigenvalues of Wigner random matrices with heavy tails
• Fluctuations of linear statistics of half-heavy-tailed random matrices
• Spectrum of non-Hermitian heavy tailed random matrices
• Poisson convergence for the largest eigenvalues of heavy tailed random matrices
• The spectrum of heavy tailed random matrices
• Bulk universality for generalized Wigner matrices with few moments
• GOE statistics for Lévy matrices
• Heavy tailed random matrices: how they differ from the GOE, and open problems
• Extreme eigenvalue statistics of \(m\)-dependent heavy-tailed matrices
• Spectrum of heavy-tailed elliptic random matrices

Cited In (4)

• Fluctuations for differences of linear eigenvalue statistics for sample covariance matrices
• Single eigenvalue fluctuations of general Wigner-type matrices
• Fluctuations of linear statistics of half-heavy-tailed random matrices
• Partial linear eigenvalue statistics for Wigner and sample covariance random matrices

This page was built for publication: Covariance kernel of linear spectral statistics for half-heavy tailed Wigner matrices

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6133489)