Gaussian fluctuations for non-Hermitian random matrix ensembles

DOI10.1214/009117906000000403MaRDI QIDQ874731zbMATH OpenOpenAlexFDO

Authors Brian Rider, Jack W. Silverstein

Publication date 10 April 2007

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

Full work available at URL https://arxiv.org/abs/math/0502400

zbMATH Keywords

central limit theoremrandom matrix theoryspectral statistics

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Central limit and other weak theorems (60F05)

Abstract: Consider an ensemble of $NimesN$ non-Hermitian matrices in which all entries are independent identically distributed complex random variables of mean zero and absolute mean-square one. If the entry distributions also possess bounded densities and finite $(4+epsilon)$ moments, then Z. D. Bai [Ann. Probab. 25 (1997) 494--529] has shown the ensemble to satisfy the circular law: after scaling by a factor of $1/sqrtN$ and letting $Noinfty$, the empirical measure of the eigenvalues converges weakly to the uniform measure on the unit disk in the complex plane. In this note, we investigate fluctuations from the circular law in a more restrictive class of non-Hermitian matrices for which higher moments of the entries obey a growth condition. The main result is a central limit theorem for linear statistics of type $X_N(f)=su{m}_{k=1}^{N}f(lambd{a}_k)$ where $lambd{a}_1,lambd{a}_2,\mathrm{...},lambd{a}_N$ denote the ensemble eigenvalues and the test function $f$ is analytic on an appropriate domain. The proof is inspired by Bai and Silverstein [Ann. Probab. 32 (2004) 533--605], where the analogous result for random sample covariance matrices is established.

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