Central Limit Theorem for Linear Eigenvalue Statistics for Submatrices of Wigner Random Matrices
Probability
2020-05-06 v2
Abstract
We prove the Central Limit Theorem for finite-dimensional vectors of linear eigenvalue statistics of submatrices of Wigner random matrices under the assumption that test functions are sufficiently smooth. We connect the asymptotic covariance to a family of correlated Gaussian Free Fields.
Cite
@article{arxiv.1504.05933,
title = {Central Limit Theorem for Linear Eigenvalue Statistics for Submatrices of Wigner Random Matrices},
author = {Lingyun Li and Matthew Reed and Alexander Soshnikov},
journal= {arXiv preprint arXiv:1504.05933},
year = {2020}
}