Fluctuations for differences of linear eigenvalue statistics for sample covariance matrices

DOI10.1142/S2010326320500069zbMath1460.60005arXiv1806.08751OpenAlexW2944042833WikidataQ128163225 ScholiaQ128163225MaRDI QIDQ3387055

Giorgio Cipolloni, László Erdős

Publication date: 12 January 2021

Published in: Random Matrices: Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1806.08751

zbMATH Keywords

linear statisticsCLTsample covariance matricesminor eigenvalues

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Random matrices (probabilistic aspects) (60B20) Random matrices (algebraic aspects) (15B52)

Related Items (7)

Central Limit Theorem for Linear Eigenvalue Statistics of <scp>Non‐Hermitian</scp> Random Matrices ⋮ Fluctuations of the diagonal entries of a large sample precision matrix ⋮ A review of exact results for fluctuation formulas in random matrix theory ⋮ On fluctuations of global and mesoscopic linear statistics of generalized Wigner matrices ⋮ Fluctuation around the circular law for random matrices with real entries ⋮ Tests for high-dimensional covariance matrices ⋮ Optimal multi-resolvent local laws for Wigner matrices

Cites Work

• Averaging fluctuations in resolvents of random band matrices
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• Interlacing adjacent levels of \(\beta\)-Jacobi corners processes
• Singularities of the density of states of random Gram matrices
• CLT for linear spectral statistics of large-dimensional sample covariance matrices.
• Mesoscopic eigenvalue statistics of Wigner matrices
• Isotropic local laws for sample covariance and generalized Wigner matrices
• On the principal components of sample covariance matrices
• CLT for spectra of submatrices of Wigner random matrices
• Central Limit Theorem for linear eigenvalue statistics of the Wigner and sample covariance random matrices
• Spectra of overlapping Wishart matrices and the Gaussian free field
• Fluctuations of Rectangular Young Diagrams of Interlacing Wigner Eigenvalues
• Quadratic Vector Equations On Complex Upper Half-Plane
• Asymptotic properties of large random matrices with independent entries
• DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES

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