Linear eigenvalue statistics of XX′ matrices

DOI10.1063/5.0156637MaRDI QIDQ6142816zbMATH OpenOpenAlexFDO

Authors Kiran Kumar A. S., Shambhu Nath Maurya, Koushik Saha

Publication date 4 January 2024

Published in Journal of Mathematical Physics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2305.02808

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Toeplitz, Cauchy, and related matrices (15B05) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20)

Abstract: This article focuses on the fluctuations of linear eigenvalue statistics of $T_{nimesp}T{\text{'}}_{nimesp}$, where $T_{nimesp}$ is an $nimesp$ Toeplitz matrix with real, complex or time-dependent entries. We show that as $nightarrowinfty$ and $p/nightarrowlambdain(0,infty)$, the linear eigenvalue statistics of these matrices for polynomial test functions converge in distribution to Gaussian random variables. We also discuss the linear eigenvalue statistics of $H_{nimesp}H{\text{'}}_{nimesp}$, when $H_{nimesp}$ is an $nimesp$ Hankel matrix. As a result of our studies, we also derive in-probability limit and a central limit theorem type result for Schettan norm of rectangular Toeplitz matrices. To establish the results, we use method of moments.

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Cited in

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