English

Functional CLT for non-Hermitian random matrices

Probability 2021-12-22 v1

Abstract

For large dimensional non-Hermitian random matrices XX with real or complex independent, identically distributed, centered entries, we consider the fluctuations of f(X)f(X) as a matrix where ff is an analytic function around the spectrum of XX. We prove that for a generic bounded square matrix AA, the quantity Trf(X)A\mathrm{Tr}f(X)A exhibits Gaussian fluctuations as the matrix size grows to infinity, which consists of two independent modes corresponding to the tracial and traceless parts of AA. We find a new formula for the variance of the traceless part that involves the Frobenius norm of AA and the L2L^{2}-norm of ff on the boundary of the limiting spectrum.

Keywords

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

R2 v1 2026-06-24T08:26:38.246Z