Fluctuations of eigenvalues and second order Poincaré inequalities

DOI10.1007/S00440-007-0118-6zbMATH Open1152.60024arXiv0705.1224OpenAlexW2136341714MaRDI QIDQ957720FDOQ957720

Authors: Sourav Chatterjee 

Publication date: 1 December 2008

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Abstract: Linear statistics of eigenvalues in many familiar classes of random matrices are known to obey gaussian central limit theorems. The proofs of such results are usually rather difficult, involving hard computations specific to the model in question. In this article we attempt to formulate a unified technique for deriving such results via relatively soft arguments. In the process, we introduce a notion of `second order Poincar'e inequalities': just as ordinary Poincar'e inequalities give variance bounds, second order Poincar'e inequalities give central limit theorems. The proof of the main result employs Stein's method of normal approximation. A number of examples are worked out, some of which are new. One of the new results is a CLT for the spectrum of gaussian Toeplitz matrices.

Full work available at URL: https://arxiv.org/abs/0705.1224

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zbMATH Keywords

central limit theoremToeplitz matrixrandom matricesWigner matrixlinear statistics of eigenvalueswishart matrixpoincaré inequality

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Inequalities; stochastic orderings (60E15) Central limit and other weak theorems (60F05)

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