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Central Limit Theorem for Mesoscopic Eigenvalue Statistics of the Free Sum of Matrices
Hong Kong Univ Sci & Technol HKUST, Kowloon, Clear Water Bay, Hong Kong, Peoples R China..
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.ORCID iD: 0000-0003-0954-3231
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
2020 (English)In: International mathematics research notices, ISSN 1073-7928, E-ISSN 1687-0247, Vol. 2022, no 7, p. 5320-5382Article in journal (Refereed) Published
Abstract [en]

We consider random matrices of the form H-N = A(N) + UNBNUN*, where A(N) and B-N are two N by N deterministic Hermitian matrices and U-N is a Haar distributed random unitary matrix. We establish a universal central limit theorem for the linear eigenvalue statistics of H-N on all mesoscopic scales inside the regular bulk of the spectrum. The proof is based on studying the characteristic function of the linear eigenvalue statistics and consists of two main steps: (1) generating Ward identities using the left-translation invariance of the Haar measure, along with a local law for the resolvent of H-N and analytic subordination properties of the free additive convolution, allows us to derive an explicit formula for the derivative of the characteristic function; (2) a local law for two-point product functions of resolvents is derived using a partial randomness decomposition of the Haar measure. We also prove the corresponding results for orthogonal conjugations.

Place, publisher, year, edition, pages
Oxford University Press (OUP) , 2020. Vol. 2022, no 7, p. 5320-5382
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:kth:diva-310763DOI: 10.1093/imrn/rnaa210ISI: 000773012300012Scopus ID: 2-s2.0-85127961274OAI: oai:DiVA.org:kth-310763DiVA, id: diva2:1650524
Note

QC 20220407

Available from: 2022-04-07 Created: 2022-04-07 Last updated: 2022-06-25Bibliographically approved

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Schnelli, KevinXu, Yuanyuan

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