CLT for spectra of submatrices of Wigner random matrices
MetadataShow full item record
We prove a CLT for spectra of submatrices of real symmetric and Hermitian Wigner matrices. We show that if in the standard normalization the fourth moment of the off-diagonal entries is GOE/GUE-like then the limiting Gaussian process can be viewed as a collection of simply yet nontrivially correlated two-dimensional Gaussian Free Fields.
DepartmentMassachusetts Institute of Technology. Department of Mathematics
Moscow Mathematical Journal
Independent University of Moscow
Borodin, Alexei. "CLT for spectra of submatrices of Wigner random matrices." Moscow Mathematical Journal 14.1 (March 2014), 29-38.