Fluctuation around the circular law for random matrices with real entries

Cipolloni G, Erdös L, Schröder DJ. 2021. Fluctuation around the circular law for random matrices with real entries. Electronic Journal of Probability. 26, 24.

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Abstract
We extend our recent result [22] on the central limit theorem for the linear eigenvalue statistics of non-Hermitian matrices X with independent, identically distributed complex entries to the real symmetry class. We find that the expectation and variance substantially differ from their complex counterparts, reflecting (i) the special spectral symmetry of real matrices onto the real axis; and (ii) the fact that real i.i.d. matrices have many real eigenvalues. Our result generalizes the previously known special cases where either the test function is analytic [49] or the first four moments of the matrix elements match the real Gaussian [59, 44]. The key element of the proof is the analysis of several weakly dependent Dyson Brownian motions (DBMs). The conceptual novelty of the real case compared with [22] is that the correlation structure of the stochastic differentials in each individual DBM is non-trivial, potentially even jeopardising its well-posedness.
Publishing Year
Date Published
2021-03-23
Journal Title
Electronic Journal of Probability
Volume
26
Article Number
24
eISSN
IST-REx-ID

Cite this

Cipolloni G, Erdös L, Schröder DJ. Fluctuation around the circular law for random matrices with real entries. Electronic Journal of Probability. 2021;26. doi:10.1214/21-EJP591
Cipolloni, G., Erdös, L., & Schröder, D. J. (2021). Fluctuation around the circular law for random matrices with real entries. Electronic Journal of Probability. Institute of Mathematical Statistics. https://doi.org/10.1214/21-EJP591
Cipolloni, Giorgio, László Erdös, and Dominik J Schröder. “Fluctuation around the Circular Law for Random Matrices with Real Entries.” Electronic Journal of Probability. Institute of Mathematical Statistics, 2021. https://doi.org/10.1214/21-EJP591.
G. Cipolloni, L. Erdös, and D. J. Schröder, “Fluctuation around the circular law for random matrices with real entries,” Electronic Journal of Probability, vol. 26. Institute of Mathematical Statistics, 2021.
Cipolloni G, Erdös L, Schröder DJ. 2021. Fluctuation around the circular law for random matrices with real entries. Electronic Journal of Probability. 26, 24.
Cipolloni, Giorgio, et al. “Fluctuation around the Circular Law for Random Matrices with Real Entries.” Electronic Journal of Probability, vol. 26, 24, Institute of Mathematical Statistics, 2021, doi:10.1214/21-EJP591.
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arXiv 2002.02438

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