On Cram\'{e}r-von Mises statistic for the spectral distribution of random matrices

DOI10.1214/22-AAP1788MaRDI QIDQ6328907arXivFDO

Authors Zhigang Bao, Yukun He

Publication date 11 November 2019

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Random matrices (probabilistic aspects) (60B20)

Abstract: Let $F_N$ and $F$ be the empirical and limiting spectral distributions of an $NimesN$ Wigner matrix. The Cram'{e}r-von Mises (CvM) statistic is a classical goodness-of-fit statistic that characterizes the distance between $F_N$ and $F$ in $el{l}^2$-norm. In this paper, we consider a mesoscopic approximation of the CvM statistic for Wigner matrices, and derive its limiting distribution. In the appendix, we also give the limiting distribution of the CvM statistic (without approximation) for the toy model CUE.

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