An edge CLT for the log determinant of Wigner ensembles

Authors Iain M. Johnstone, Yegor Klochkov, Alexei Onatski, Damian Pavlyshyn

Publication date 27 November 2020

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

Abstract: We derive a Central Limit Theorem (CLT) for

l o g l e f t v e r t d e t l e f t (W_{N} - E_{N} i g h t) i g h t v e r t,

where

W_{N}

is a Wigner matrix, and

E_{N}

is local to the edge of the semi-circle law. Precisely,

E_{N} = 2 + N^{- 2 / 3} s i g m a_{N}

with

s i g m a_{N}

being either a constant (possibly negative), or a sequence of positive real numbers, slowly diverging to infinity so that

s i g m a_{N} l l l o g^{2} N

. We also extend our CLT to cover spiked Wigner matrices. Our interest in the CLT is motivated by its applications to statistical testing in critically spiked models and to the fluctuations of the free energy in the spherical Sherrington-Kirkpatrick model of statistical physics.

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