Central limit theorem for linear eigenvalue statistics of elliptic random matrices
Probability
2015-03-06 v2 Mathematical Physics
math.MP
Abstract
We consider a class of elliptic random matrices which generalize two classical ensembles from random matrix theory: Wigner matrices and random matrices with iid entries. In particular, we establish a central limit theorem for linear eigenvalue statistics of real elliptic random matrices under the assumption that the test functions are analytic. As a corollary, we extend the results of Rider and Silverstein to real iid random matrices.
Cite
@article{arxiv.1410.4586,
title = {Central limit theorem for linear eigenvalue statistics of elliptic random matrices},
author = {Sean O'Rourke and David Renfrew},
journal= {arXiv preprint arXiv:1410.4586},
year = {2015}
}
Comments
60 pages; minor corrections