Three-dimensional Gaussian fluctuations of spectra of overlapping stochastic Wishart matrices

DOI10.1142/S2010326322500484zbMATH Open1517.60012arXiv2112.13728WikidataQ114071580 ScholiaQ114071580MaRDI QIDQ6163575FDOQ6163575

Authors: Jeffrey Kuan, Zhengye Zhou 

Publication date: 26 June 2023

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

Abstract: In arXiv:1410.7268v3, the authors consider eigenvalues of overlapping Wishart matrices and prove that its fluctuations asymptotically convergence to the Gaussian free field. In this brief note, their result is extended to show that when the matrix entries undergo stochastic evolution, the fluctuations asymptotically converge to a three-dimensional Gaussian field, which has an explicit contour integral formula. This is analogous to the result of arXiv:1011.3544 for stochastic Wigner matrices.

Full work available at URL: https://arxiv.org/abs/2112.13728

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zbMATH Keywords

Gaussian free fieldintegrabilityWishart matrices

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20)

Cites Work

• Anisotropic growth of random surfaces in \({2+1}\) dimensions
• CLT for spectra of submatrices of Wigner random matrices
• Random surface growth with a wall and Plancherel measures for \(O (\infty )\)
• Three-dimensional Gaussian fluctuations of non-commutative random surfaces along time-like paths
• Asymptotics of Plancherel measures for the infinite-dimensional unitary group
• The Gaussian free field in interlacing particle systems
• Spectra of overlapping Wishart matrices and the Gaussian free field

Cited In (3)

• Gaussian fluctuation for Gaussian Wishart matrices of overall correlation
• CLT for spectra of submatrices of Wigner random matrices. II: Stochastic evolution
• Spectra of overlapping Wishart matrices and the Gaussian free field

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