English

Partial Linear Eigenvalue Statistics for Wigner and Sample Covariance Random Matrices

Probability 2015-08-06 v2 Mathematical Physics math.MP

Abstract

Let MnM_n be a n×nn \times n Wigner or sample covariance random matrix, and let μ1(Mn),μ2(Mn),...,μn(Mn)\mu_1(M_n), \mu_2(M_n), ..., \mu_n(M_n) denote the unordered eigenvalues of MnM_n. We study the fluctuations of the partial linear eigenvalue statistics i=1nkf(μi(Mn)) \sum_{i=1}^{n-k} f(\mu_i(M_n)) as nn \rightarrow \infty for sufficiently nice test functions ff. We consider both the case when kk is fixed and when mink,nk\min{k,n-k} tends to infinity with nn.

Keywords

Cite

@article{arxiv.1301.0368,
  title  = {Partial Linear Eigenvalue Statistics for Wigner and Sample Covariance Random Matrices},
  author = {Sean O'Rourke and Alexander Soshnikov},
  journal= {arXiv preprint arXiv:1301.0368},
  year   = {2015}
}

Comments

20 pages; incorporated the referee's comments and suggestions

R2 v1 2026-06-21T23:03:12.947Z