Central Limit Theorem for Linear Eigenvalue Statistics for Submatrices of Wigner Random Matrices
Posted on 2020-06-09 - 05:20
We prove the Central Limit Theorem for finite-dimensional vectors of linear eigenvalue statistics of submatrices of Wigner random matrices under the assumption that test functions are sufficiently smooth. We connect the asymptotic covariance to a family of correlated Gaussian Free Fields.
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Li, Lingyun; Reed, Matthew; Soshnikov, Alexander (2020). Central Limit Theorem for Linear Eigenvalue Statistics for Submatrices of Wigner Random Matrices. Frontiers. Collection. https://doi.org/10.3389/fams.2020.00017
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AUTHORS (3)
LL
Lingyun Li
MR
Matthew Reed
AS
Alexander Soshnikov
CATEGORIES
- Statistics
- Mathematical Physics not elsewhere classified
- Ordinary Differential Equations, Difference Equations and Dynamical Systems
- Computation Theory and Mathematics
- Financial Mathematics
- Applied Mathematics not elsewhere classified
- Optimisation
- Numerical and Computational Mathematics not elsewhere classified
- Applied Statistics
- Numerical Computation
- Computation Theory and Mathematics not elsewhere classified