CLT for Linear Spectral Statistics of Wigner matrices

In this paper, we prove that the spectral empirical process of Wigner matrices under sixth-moment conditions, which is indexed by a set of functions with continuous fourth-order derivatives on an open interval including the support of the semicircle law, converges weakly in finite dimensions to a Gaussian process.

[1]  Z. D. Bai,et al.  Necessary and Sufficient Conditions for Almost Sure Convergence of the Largest Eigenvalue of a Wigner Matrix , 1988 .

[2]  Jianfeng Yao,et al.  On the convergence of the spectral empirical process of Wigner matrices , 2005 .

[3]  V. Uppuluri,et al.  Asymptotic distribution of eigenvalues of random matrices , 1972 .

[4]  M. Brewer With comments by , 2008 .

[5]  Piotr Sniady,et al.  Second order freeness and fluctuations of random matrices: II. Unitary random matrices , 2007 .

[6]  Charles R. Johnson,et al.  Matrix analysis , 1985, Statistical Inference for Engineers and Data Scientists.

[7]  L. Arnold,et al.  On Wigner's semicircle law for the eigenvalues of random matrices , 1971 .

[8]  Z. Bai,et al.  Convergence Rate of Expected Spectral Distributions of Large Random Matrices. Part I. Wigner Matrices , 1993 .

[9]  Zhidong Bai,et al.  CONVERGENCE RATE OF EXPECTED SPECTRAL DISTRIBUTIONS OF LARGE RANDOM MATRICES PART II: SAMPLE COVARIANCE MATRICES , 2008 .

[10]  L. Pastur,et al.  CENTRAL LIMIT THEOREM FOR LINEAR EIGENVALUE STATISTICS OF RANDOM MATRICES WITH INDEPENDENT ENTRIES , 2008, 0809.4698.

[11]  Lebowitz,et al.  Gaussian fluctuation in random matrices. , 1994, Physical review letters.

[12]  Z. Bai METHODOLOGIES IN SPECTRAL ANALYSIS OF LARGE DIMENSIONAL RANDOM MATRICES , A REVIEW , 1999 .

[13]  R. Speicher,et al.  Lectures on the Combinatorics of Free Probability: Unitary random matrices , 2006 .

[14]  Boris A. Khoruzhenko,et al.  Asymptotic properties of large random matrices with independent entries , 1996 .

[15]  Piotr Sniady,et al.  Second order freeness and fluctuations of random matrices. III: Higher order freeness and free cumulants , 2006, Documenta Mathematica.

[16]  Roland Speicher,et al.  Second order freeness and fluctuations of random matrices: I. Gaussian and Wishart matrices and cyclic Fock spaces , 2004, math/0405191.

[17]  E. Wigner Characteristic Vectors of Bordered Matrices with Infinite Dimensions I , 1955 .

[18]  J. W. Silverstein,et al.  No eigenvalues outside the support of the limiting spectral distribution of large-dimensional sample covariance matrices , 1998 .

[19]  K. Johansson On fluctuations of eigenvalues of random Hermitian matrices , 1998 .

[20]  J. W. Silverstein,et al.  Spectral Analysis of Large Dimensional Random Matrices , 2009 .

[21]  Alexander Soshnikov,et al.  Central limit theorem for traces of large random symmetric matrices with independent matrix elements , 1998 .