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

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

Anna Maltsev, Asad Lodhia

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

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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)

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Cited In (3)

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

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