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
相关论文
共 50 条
[41]   Functional CLT of eigenvectors for large sample covariance matrices [J].
Xia, Ningning ;
Bai, Zhidong .
STATISTICAL PAPERS, 2015, 56 (01) :23-60
[42]   Functional CLT for sample covariance matrices [J].
Bai, Zhidong ;
Wang, Xiaoying ;
Zhou, Wang .
BERNOULLI, 2010, 16 (04) :1086-1113
[43]   Convergence domains of AOR type iterative matrices for solving non-Hermitian linear systems [J].
Wang, L .
JOURNAL OF COMPUTATIONAL MATHEMATICS, 2004, 22 (06) :817-832
[44]   An Efficient Iterative Approach to Large Sparse Nonlinear Systems with Non-Hermitian Jacobian Matrices [J].
Chen, Min-Hong ;
Wu, Qing-Biao ;
Gao, Qin ;
Lin, Rong-Fei .
EAST ASIAN JOURNAL ON APPLIED MATHEMATICS, 2021, 11 (02) :349-368
[45]   Unveiling the significance of eigenvectors in diffusing non-Hermitian matrices by identifying the underlying Burgers dynamics [J].
Burda, Zdzislaw ;
Grela, Jacek ;
Nowak, Maciej A. ;
Tarnowski, Wojciech ;
Warchol, Piotr .
NUCLEAR PHYSICS B, 2015, 897 :421-447
[46]   HERMITIAN PRECONDITIONING FOR A CLASS OF NON-HERMITIAN LINEAR SYSTEMS [J].
Spillane, Nicole .
SIAM JOURNAL ON SCIENTIFIC COMPUTING, 2024, 46 (03) :A1903-A1922
[47]   Complex Outliers of Hermitian Random Matrices [J].
Jean Rochet .
Journal of Theoretical Probability, 2017, 30 :1624-1654
[48]   Complex Outliers of Hermitian Random Matrices [J].
Rochet, Jean .
JOURNAL OF THEORETICAL PROBABILITY, 2017, 30 (04) :1624-1654
[49]   Non-Hermitian Orthogonal Polynomials on a Trefoil [J].
Barhoumi, Ahmad B. ;
Yattselev, Maxim L. .
CONSTRUCTIVE APPROXIMATION, 2024, 59 (02) :271-331
[50]   A CLT FOR INFORMATION-THEORETIC STATISTICS OF NON-CENTERED GRAM RANDOM MATRICES [J].
Hachem, Walid ;
Kharouf, Malika ;
Najim, Jamal ;
Silverstein, Jack W. .
RANDOM MATRICES-THEORY AND APPLICATIONS, 2012, 1 (02)