Eigenvalues of Hermite and Laguerre ensembles: large beta asymptotics

In this paper we examine the zero and first order eigenvalue fluctuations for the β-Hermite and β-Laguerre ensembles, using tridiagonal matrix models, in the limit as β→∞. We prove that the fluctuations are described by multivariate Gaussians of covariance O(1/β), centered at the roots of a corresponding Hermite (Laguerre) polynomial. The covariance matrix itself is expressed as combinations of Hermite or Laguerre polynomials respectively. We show that the approximations are of real value even for small β; we can use them to approximate the true functions even for the traditional β=1,2,4 values.