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

DOI10.1142/S201032632250054XMaRDI QIDQ6133489zbMATH OpenOpenAlexWikidataFDO

Authors Asad Lodhia, Anna Maltsev

Publication date 24 July 2023

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

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

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)

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.

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Cited in

(4)

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

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