Gaussian fluctuations for products of random matrices

被引:0
作者
Gorin, Vadim [1 ,2 ]
Sun, Yi [3 ]
机构
[1] Univ Wisconsin, Dept Math, Madison, WI 53706 USA
[2] Russian Acad Sci, Inst Informat Transmiss Problems, Moscow, Russia
[3] Univ Chicago, Dept Stat, Chicago, IL 60637 USA
关键词
CENTRAL-LIMIT-THEOREM; LYAPUNOV EXPONENTS; 2ND-ORDER FREENESS; STATISTICS; SUBMATRICES; POLYNOMIALS; ASYMPTOTICS; COVARIANCE; SPECTRA; LAW;
D O I
暂无
中图分类号
O1 [数学];
学科分类号
0701 ; 070101 ;
摘要
We study global fluctuations for singular values of M-fold products of several right-unitarily invariant N x N random matrix ensembles. As N -> infinity, we show the fluctuations of their height functions converge to an explicit Gaussian field, which is log-correlated for M fixed and has a white noise component for M -> infinity jointly with N. Our technique centers on the study of the multivariate Bessel generating functions of these spectral measures, for which we prove a central limit theorem for global fluctuations via certain conditions on the generating functions. We apply our approach to a number of ensembles, including square roots of Wishart, Jacobi, and unitarily invariant positive definite matrices with fixed spectrum. using a detailed asymptotic analysis of multivariate Bessel functions to verify the necessary conditions.
引用
收藏
页码:287 / 393
页数:108
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