Functional CLT for non-Hermitian random matrices

被引:1
作者
Erdos, Laszlo [1 ]
Ji, Hong Chang [1 ]
机构
[1] IST Austria, Klosterneuburg, Austria
来源
ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES | 2023年 / 59卷 / 04期
基金
欧洲研究理事会;
关键词
Linear statistics; Central limit theorem; Gaussian free field; LINEAR EIGENVALUE STATISTICS; GAUSSIAN FLUCTUATIONS; CONVERGENCE; ENSEMBLES;
D O I
10.1214/22-AIHP1304
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
For large dimensional non-Hermitian random matrices X with real or complex independent, identically distributed, centered entries, we consider the fluctuations of f (X) as a matrix where f is an analytic function around the spectrum of X. We prove that for a generic bounded square matrix A, the quantity Tr f (X)A exhibits Gaussian fluctuations as the matrix size grows to infinity, which consists of two independent modes corresponding to the tracial and traceless parts of A. We find a new formula for the variance of the traceless part that involves the Frobenius norm of A and the L2-norm off on the boundary of the limiting spectrum.
引用
收藏
页码:2083 / 2105
页数:23
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