CLT for spectra of submatrices of Wigner random matrices
Probability
2010-10-06 v1 Mathematical Physics
math.MP
Abstract
We prove a CLT for spectra of submatrices of real symmetric and Hermitian Wigner matrices. We show that if in the standard normalization the fourth moment of the off-digonal entries is GOE/GUE-like then the limiting Gaussian process can be viewed as a collection of simply yet nontrivially correlated two-dimensional Gaussian Free Fields.
Cite
@article{arxiv.1010.0898,
title = {CLT for spectra of submatrices of Wigner random matrices},
author = {Alexei Borodin},
journal= {arXiv preprint arXiv:1010.0898},
year = {2010}
}