Functional CLT for non-Hermitian random matrices
Probability
2021-12-22 v1
Abstract
For large dimensional non-Hermitian random matrices with real or complex independent, identically distributed, centered entries, we consider the fluctuations of as a matrix where is an analytic function around the spectrum of . We prove that for a generic bounded square matrix , the quantity exhibits Gaussian fluctuations as the matrix size grows to infinity, which consists of two independent modes corresponding to the tracial and traceless parts of . We find a new formula for the variance of the traceless part that involves the Frobenius norm of and the -norm of on the boundary of the limiting spectrum.
Cite
@article{arxiv.2112.11382,
title = {Functional CLT for non-Hermitian random matrices},
author = {László Erdős and Hong Chang Ji},
journal= {arXiv preprint arXiv:2112.11382},
year = {2021}
}
Comments
23 pages