Mesoscopic spectral CLT for block correlated random matrices

For random matrices with block correlation structure we show that the fluctuations of linear eigenvalue statistics are Gaussian on all mesoscopic scales with universal variance which coincides with that of the Gaussian unitary or Gaussian orthogonal ensemble, depending on the symmetry class of the model. The main tool used for determining this variance is a two-point version of the matrix-valued Dyson equation, that encodes the asymptotic behavior of the product of resolvents at different spectral parameters.

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Publication Details

Journal
Electronic Journal of Probability
Published
2025-01-01
DOI
https://doi.org/10.1214/25-ejp1312
Primary Topic
Random Matrices and Applications
Type
article
Field-Weighted Citation Impact
0.00

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article

Mesoscopic spectral CLT for block correlated random matrices

Yuriy Nemish, Torben Krüger
Electronic Journal of Probability
Random Matrices and Applications
article

Mesoscopic spectral CLT for block correlated random matrices

Yuriy Nemish, Torben Krüger
article en

Abstract

For random matrices with block correlation structure we show that the fluctuations of linear eigenvalue statistics are Gaussian on all mesoscopic scales with universal variance which coincides with that of the Gaussian unitary or Gaussian orthogonal ensemble, depending on the symmetry class of the model. The main tool used for determining this variance is a two-point version of the matrix-valued Dyson equation, that encodes the asymptotic behavior of the product of resolvents at different spectral parameters.

Electronic Journal of ProbabilityVol. 30(none)
University of Copenhagen (DK), University of California San Diego (US)
Villum Fonden, Novo Nordisk, Novo Nordisk Fonden
Openalex Percentile: Top 92%
Random Matrices and Applications
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