Fluctuations and correlations for products of real asymmetric random matrices

DOI10.1214/22-AIHP1321zbMATH Open1530.60006arXiv2109.00322OpenAlexW3196314323MaRDI QIDQ6147707FDOQ6147707

Authors: Will Fitzgerald, Nick Simm 

Publication date: 16 January 2024

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Abstract: We study the real eigenvalue statistics of products of independent real Ginibre random matrices. These are matrices all of whose entries are real i.i.d. standard Gaussian random variables. For such product ensembles, we demonstrate the asymptotic normality of suitably normalised linear statistics of the real eigenvalues and compute the limiting variance explicitly in both global and mesoscopic regimes. A key part of our proof establishes uniform decorrelation estimates for the related Pfaffian point process, thereby allowing us to exploit weak dependence of the real eigenvalues to give simple and quick proofs of the central limit theorems under quite general conditions. We also establish the universality of these point processes. We compute the asymptotic limit of all correlation functions of the real eigenvalues in the bulk, origin and spectral edge regimes. By a suitable strengthening of the convergence at the edge, we also obtain the limiting fluctuations of the largest real eigenvalue. Near the origin we find new limiting distributions characterising the smallest positive real eigenvalue.

Full work available at URL: https://arxiv.org/abs/2109.00322

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zbMATH Keywords

weak dependenceuniversalitycentral limit theoremscorrelation functionsreal Ginibre ensemblereal eigenvaluesedge fluctuationsproduct ensembles

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05)

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Cited In (6)

• The product of \(m\) real \(N \times N\) Ginibre matrices: real eigenvalues in the critical regime \(m = O(N)\)
• Averages of products of characteristic polynomials and the law of real eigenvalues for the real Ginibre ensemble
• Local central limit theorem for real eigenvalue fluctuations of elliptic GinOE matrices
• Harer-Zagier type recursion formula for the elliptic GinOE
• Disk counting statistics near hard edges of random normal matrices: the multi-component regime
• Universality in the number variance and counting statistics of the real and symplectic Ginibre ensemble

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