Central Limit Theorem for Partial Linear Eigenvalue Statistics of Wigner Matrices

被引:0
作者
Zhigang Bao
Guangming Pan
Wang Zhou
机构
[1] Zhejiang University,Department of Mathematics
[2] Nanyang Technological University,Division of Mathematical Sciences, School of Physical and Mathematical Sciences
[3] National University of Singapore,Department of Statistics and Applied Probability
来源
Journal of Statistical Physics | 2013年 / 150卷
关键词
Wigner matrices; Central limit theorem; Partial linear eigenvalue statistics; Partial sum process;
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摘要
In this paper, we study the complex Wigner matrices \documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$M_{n}=\frac{1}{\sqrt{n}}W_{n}$\end{document} whose eigenvalues are typically in the interval [−2,2]. Let λ1≤λ2⋯≤λn be the ordered eigenvalues of Mn. Under the assumption of four matching moments with the Gaussian Unitary Ensemble (GUE), for test function f 4-times continuously differentiable on an open interval including [−2,2], we establish central limit theorems for two types of partial linear statistics of the eigenvalues. The first type is defined with a threshold u in the bulk of the Wigner semicircle law as \documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$\mathcal{A}_{n}[f; u]=\sum_{l=1}^{n}f(\lambda_{l})\mathbf{1}_{\{\lambda_{l}\leq u\}}$\end{document}. And the second one is \documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$\mathcal{B}_{n}[f; k]=\sum_{l=1}^{k}f(\lambda_{l})$\end{document} with positive integer k=kn such that k/n→y∈(0,1) as n tends to infinity. Moreover, we derive a weak convergence result for a partial sum process constructed from \documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$\mathcal{B}_{n}[f; \lfloor nt\rfloor]$\end{document}. The main difficulty is to deal with the linear eigenvalue statistics for the test functions with several non-differentiable points. And our main strategy is to combine the Helffer-Sjöstrand formula and a comparison procedure on the resolvents to extend the results from GUE case to general Wigner matrices case. Moreover, the results on \documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$\mathcal{A}_{n}[f;u]$\end{document} for the real Wigner matrices will also be briefly discussed.
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页码:88 / 129
页数:41
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