Random matrices: Law of the determinant
Probability
2014-01-14 v3
Abstract
Let be an by random matrix whose entries are independent real random variables with mean zero, variance one and with subexponential tail. We show that the logarithm of satisfies a central limit theorem. More precisely, \begin{eqnarray*}\sup_{x\in {\mathbf {R}}}\biggl|{\mathbf {P}}\biggl(\frac{\log(|\det A_n|)-({1}/{2})\log (n-1)!}{\sqrt{({1}/{2})\log n}}\le x\biggr)-{\mathbf {P}}\bigl(\mathbf {N}(0,1)\le x\bigr)\biggr|\\\qquad\le\log^{-{1}/{3}+o(1)}n.\end{eqnarray*}
Cite
@article{arxiv.1112.0752,
title = {Random matrices: Law of the determinant},
author = {Hoi H. Nguyen and Van Vu},
journal= {arXiv preprint arXiv:1112.0752},
year = {2014}
}
Comments
Published in at http://dx.doi.org/10.1214/12-AOP791 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)