Quantitative CLT for linear eigenvalue statistics of Wigner matrices

DOI10.1214/23-AAP1945MaRDI QIDQ6180368zbMATHOpenAlexFDO

Authors Zhigang Bao, Yukun He

Publication date 19 January 2024

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2103.05402

zbMATH Keywords

CLTconvergence rateWigner matrixlinear eigenvalue statisticsKolmogorov-Smirnov distance

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05)

Abstract: In this article, we establish a near-optimal convergence rate for the CLT of linear eigenvalue statistics of Wigner matrices, in Kolmogorov-Smirnov distance. For all test functions $fin{C}^5(mathbbR)$, we show that the convergence rate is either $N^{-1/2+varepsilon}$ or $N^{-1+varepsilon}$, depending on the first Chebyshev coefficient of $f$ and the third moment of the diagonal matrix entries. The condition that distinguishes these two rates is necessary and sufficient. For a general class of test functions, we further identify matching lower bounds for the convergence rates. In addition, we identify an explicit, non-universal contribution in the linear eigenvalue statistics, which is responsible for the slow rate $N^{-1/2+varepsilon}$ for non-Gaussian ensembles. By removing this non-universal part, we show that the shifted linear eigenvalue statistics have the unified convergence rate $N^{-1+varepsilon}$ for all test functions.

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Cited in

(2)

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