The logarithmic law of random determinant

DOI10.3150/14-BEJ615MaRDI QIDQ2515511zbMATH OpenFDO

Authors Zhigang Bao, Guangming Pan, Wang Zhou

Publication date 5 August 2015

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1208.5823, https://projecteuclid.org/euclid.bj/1432732031

central limit theorem determinant logarithmic law random matrices

Determinants, permanents, traces, other special matrix functions (15A15) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05)

Abstract: Consider the square random matrix

A_{n} = (a_{i j})_{n, n}

, where

a_{i j} := a_{i j}^{(n)}, i, j = 1, l d o t s, n

is a collection of independent real random variables with means zero and variances one. Under the additional moment condition [sup_nmax_{1leq i,jleq n}mathbb{E}a_{ij}^4<infty,] we prove Girko's logarithmic law of

d e t A_{n}

in the sense that as

n i g h t a r r o w i n f t y

�egin{eqnarray*}frac{log|det A_n|-(1/2)log(n-1)!}{sqrt{(1/2)log n}}stackrel{d}{ longrightarrow}N(0,1).end{eqnarray*}

Review text

The determinant of a sequence of random matrices with entries which are independent real random variables with mean 0 and variance 1 has been studied by many authors since the 1950s. This paper studies the central limit theorem (CLT) for the logarithm of a determinant, which was first proved by \textit{N. R. Goodman} [Ann. Math. Stat. 34, 178--180 (1963; Zbl 0122.36904)] when the common distribution of the matrix entries is assumed to be Gaussian. \textit{V. L. Girko} [Theory Probab. Appl. 42, No. 1, 121--129 (1997); translation from Teor. Veroyatn. Primen. 42, No. 1, 63--73 (1997; Zbl 0923.60027)] claimed to have a proof of the CLT under a general condition which requires only the existence of the \((4+\delta)\)-th moment for the matrix entries, but it was found that several parts of the proof lack mathematical rigour. Recently, \textit{H. H. Nguyen} and \textit{V. Vu} [Ann. Probab. 42, No. 1, 146--167 (2014; Zbl 1299.60005)] provided a new proof but under much stronger moment conditions. In this paper, relying on the basic strategy of Girko's method of perpendiculars, a complete and rigorous proof of the CLT is given under a weaker condition, which requires only the existence of the \(4\)-th moment of the matrix entries.

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