We consider a random symmetric matrix ${\bf X} = [X_{jk}]_{j,k=1}^n$ with upper triangular entries being i.i.d. random variables with mean zero and unit variance. We additionally suppose that $\mathbb E |X_{11}|^{4 + δ} =: μ_{4+δ} < \infty$ for some $δ> 0$. The aim of this paper is to significantly extend recent result of the authors [18] and show that with high probability the typical distance between the Stieltjes transform of the empirical spectral distribution (ESD) of the matrix $n^{-\frac{1}{2}} {\bf X}$ and Wigner's semicircle law is of order $(nv)^{-1} \log n$, where $v$ denotes the distance to the real line in the complex plane. We apply this result to the rate of convergence of the ESD to the distribution function of the semicircle law as well as to rigidity of eigenvalues and eigenvector delocalization significantly extending a recent result by Götze, Naumov and Tikhomirov [19]. The result on delocalization is optimal by comparison with GOE ensembles. Furthermore the techniques of this paper provide a new shorter proof for the optimal $O(n^{-1})$ rate of convergence of the expected ESD to the semicircle law.
We show that, for sequences of vectors of multiple Wigner integrals with respect to a free Brownian motion, componentwise convergence to semicircular is equivalent to joint convergence. This result extends to the free probability setting some findings by Peccati and Tudor (2005), and represents a multidimensional counterpart of a limit theorem inside the free Wigner chaos established by Kemp, Nourdin, Peccati and Speicher (2011).
We revisit the moment method to obtain a slightly strengthened version of the usual semicircular law. Our version assumes only that the upper triangular entries of Hermitian random matrices are independent, have mean zero and variances close to $1/n$ in a certain sense, and satisfy a Lindeberg-type condition. As an application, we derive another semicircular law for the case when the sum of a row converges in distribution to the standard normal distribution, including the case where all matrix entries may have infinite variance. The appendix, making up the majority of the paper, provides for t…
In the present paper, we prove that under the assumption of the finite sixth moment for elements of a Wigner matrix, the convergence rate of its empirical spectral distribution to the Wigner semicircular law in probability is $O(n^{-1/2})$ when the dimension $n$ tends to infinity.
Let $(σ_N^{(i)})_{i \in I}$ be a family of symmetric permutations of the entries of a Wigner matrix $\mathbf{W}_N$. We characterize the limiting traffic distribution of the corresponding family of dependent Wigner matrices $(\mathbf{W}_N^{σ_N^{(i)}})_{i \in I}$ in terms of the geometry of the permutations. We also consider the analogous problem for the limiting joint distribution of $(\mathbf{W}_N^{σ_N^{(i)}})_{i \in I}$. In particular, we obtain a description in terms of semicircular families with general covariance structures. As a special case, we derive necessary and sufficient conditions …
We give a short proof of the free analogue of the Talagrand inequality for the transportation cost to the semicircular which was originally proved by Biane and Voiculescu. The proof is based on a convexity argument and is in the spirit of the original Talagrand's proof. We also discuss the convergence, fluctuations and large deviations of the energy of the eigenvalues of beta ensembles, which gives also yet another proof of the convergence of the eigenvalue distribution to the semicircle law.
It is well known that Gaussian symplectic ensemble (GSE) is defined on the space of $n\times n$ quaternion self-dual Hermitian matrices with Gaussian random elements. There is a huge body of literature regarding this kind of matrices. As a natural idea we want to get more universal results by removing the Gaussian condition. For the first step, in this paper we prove that the empirical spectral distribution of the common quaternion self-dual Hermitian matrices tends to semicircular law. The main tool to establish the universal result is given as a lemma in this paper as well.
We investigate generalizations of the Cramér theorem. This theorem asserts that a Gaussian random variable can be decomposed into the sum of independent random variables if and only if they are Gaussian. We prove asymptotic counterparts of such decomposition results for multiple Wiener integrals and prove that similar results are true for the (asymptotic) decomposition of the semicircular distribution into free multiple Wigner integrals.
We consider the problem of generating symmetric pseudo-random sign (+/-1) matrices based on the similarity of their spectra to Wigner's semicircular law. Using binary m-sequences (Golomb sequences) of lengths n=2^m-1, we give a simple explicit construction of circulant n by n sign matrices and show that their spectra converge to the semicircular law when n grows. The Kolmogorov complexity of the proposed matrices equals to that of Golomb sequences and is at most 2log(n) bits.
We investigate the fluctuations of linear spectral statistics of a Wigner matrix $W\_N$ deformed by a deterministic diagonal perturbation $D\_N$, around a deterministic equivalent which can be expressed in terms of the free convolution between a semicircular distribution and the empirical spectral measure of $D\_N$. We obtain Gaussian fluctuations for test functions in $\mathcal{C}\_c^7(\mathbb{R})$ ($\mathcal{C}\_c^2(\mathbb{R})$ for fluctuations around the mean). Furthermore, we provide as a tool a general method inspired from Shcherbina and Johansson to extend the convergence of the bias if…
Our main result is a local limit law for the empirical spectral distribution of the anticommutator of independent Wigner matrices, modeled on the local semicircle law. Our approach is to adapt some techniques from one of the recent papers of Erdös-Yau-Yin. We also use an algebraic description of the law of the anticommutator of free semicircular variables due to Nica-Speicher, a self-adjointness-preserving variant of the linearization trick due to Haagerup-Schultz-Thorbjørnsen, and the Schwinger-Dyson equation. A byproduct of our work is a relatively simple deterministic version of the local s…
If x and y are two free semicircular random variables in a non-commutative probability space (A,E) and have variance one, we call the law of 2^{-1/2}(xy+yx) the tetilla law (and we denote it by T), because of the similarity between the form of its density and the shape of the tetilla cheese from Galicia. In this paper, we prove that a unit-variance sequence {F_n} of multiple Wigner integrals converges in distribution to T if and only if E[F_n^4]--> E[T^4] and E[F_n^6]--> E[T^6]. This result should be compared with limit theorems of the same flavor, recently obtained by Kemp, Nourdin, Peccati &…
In the current paper we consider a Wigner matrix and consider an analytic function of polynomial growth on a set containing the support of the semicircular law in its interior. We prove that the linear spectral statistics corresponding to the function and the point process at the edge of the Wigner matrix are asymptotically independent when the entries of the Wigner matrix are sub-Gaussian. The main ingredient of the proof is based on a recent paper by Banerjee [6]. The result of this paper can be viewed as a first step to find the joint distribution of eigenvalues in the bulk and the edge.
As an important topic in Mathematical Physics and statistics, random matrices theory has found uses in many aspects of modern physics and multivariate analysis. This paper is to investigate the Gaussian fluctuations for linear spectral statistics (LSS) of Wigner beta ensembles. We first establish a central limit theorem (CLT) for LSS of Wigner quaternion matrices, then give a general CLT for Wigner $β$ ensembles.
We survey some recent progress on rigorously establishing the universality of various spectral statistics of Wigner random matrix ensembles, focusing in particular on the Four Moment Theorem and its applications.
Consider the ensembles of real symmetric Toeplitz matrices and real symmetric Hankel matrices whose entries are i.i.d. random variables chosen from a fixed probability distribution p of mean 0, variance 1, and finite higher moments. Previous work on real symmetric Toeplitz matrices shows that the spectral measures, or densities of normalized eigenvalues, converge almost surely to a universal near-Gaussian distribution, while previous work on real symmetric Hankel matrices shows that the spectral measures converge almost surely to a universal non-unimodal distribution. Real symmetric Toeplitz m…
This paper extends a previous bound of order $O(n^{-1})$ of the authors (arXiv:1405.7820[math.PR]), for the rate of convergence in Kolmogorov distance of the expected spectral distribution of a Wigner random matrix ensemble to the semicircular law. Here we relax the moment conditions for entries of the Wigner matrices from order $8$ to order $4+ ε$ for an arbitrary small $ε>0$.
We consider the joint distribution of eigenvalue clusters of the Wigner ensemble separated by macroscopic distances (i.e., on the same scale as the difference between the edges of the semicircle law). We prove that under an averaging condition, the correlation function governing any finite collection of clusters converges to that of independence point processes. The proof relies heavily on the machinery developed by Erdos, Ramirez, Schlein, and Yau.
In this paper, we survey some recent progress on rigorously establishing the universality of various spectral statistics of Wigner Hermitian random matrix ensembles, focusing on the Four Moment Theorem and its refinements and applications, including the universality of the sine kernel and the Central limit theorem of several spectral parameters. We also take the opportunity here to issue some errata for some of our previous papers in this area.
We consider generalized Wigner ensembles and general beta-ensembles with analytic potentials for any beta larger than 1. The recent universality results in particular assert that the local averages of consecutive eigenvalue gaps in the bulk of the spectrum are universal in the sense that they coincide with those of the corresponding Gaussian beta-ensembles. In this article, we show that local averaging is not necessary for this result, i.e. we prove that the single gap distributions in the bulk are universal.
We establish a moderate deviations principle (MDP) for the log-determinant $\log | \det (M_n) |$ of a Wigner matrix $M_n$ matching four moments with either the GUE or GOE ensemble. Further we establish Cramér--type moderate deviations and Berry-Esseen bounds for the log-determinant for the GUE and GOE ensembles as well as for non-symmetric and non-Hermitian Gaussian random matrices (Ginibre ensembles), respectively.
We derive a Central Limit Theorem (CLT) for $\log \left\vert\det \left( W_{N}-E_{N}\right)\right\vert,$ where $W_{N}$ is a Wigner matrix, and $E_{N}$ is local to the edge of the semi-circle law. Precisely, $E_N=2+N^{-2/3}σ_N$ with $σ_N$ being either a constant (possibly negative), or a sequence of positive real numbers, slowly diverging to infinity so that $σ_N \ll \log^{2} N$. We also extend our CLT to cover spiked Wigner matrices. Our interest in the CLT is motivated by its applications to statistical testing in critically spiked models and to the fluctuations of the free energy in the spher…
Vinberg cones and the ambient vector spaces are important in modern statistics of sparse models and of graphical models. The aim of this paper is to study eigenvalue distributions of Gaussian, Wigner and covariance matrices related to growing Vinberg matrices, corresponding to growing daisy graphs. For Gaussian or Wigner ensembles, we give an explicit formula for the limiting distribution. For Wishart ensembles defined naturally on Vinberg cones, their limiting Stieltjes transforms, support and atom at 0 are described explicitly in terms of the Lambert-Tsallis functions, which are defined by u…
The purpose of this paper is to establish universality of the fluctuations of the largest eigenvalue of some non necessarily Gaussian complex Deformed Wigner Ensembles. The real model is also considered. Our approach is close to the one used by A. Soshnikov in the investigations of classical real or complex Wigner Ensembles. It is based on the computation of moments of traces of high powers of the random matrices under consideration.
We define a new diffusive matrix model converging towards the $β$ -Dyson Brownian motion for all $β\in [0,2]$ that provides an explicit construction of $β$-ensembles of random matrices that is invariant under the orthogonal/unitary group. For small values of $β$, our process allows one to interpolate smoothly between the Gaussian distribution and the Wigner semi-circle. The interpolating limit distributions form a one parameter family that can be explicitly computed. This also allows us to compute the finite-size corrections to the semi-circle.
Let $\mathbf X=(X_{jk})_{j,k=1}^n$ denote a Hermitian random matrix with entries $X_{jk}$, which are independent for $1\le j\le k\le n$. We consider the rate of convergence of the empirical spectral distribution function of the matrix $\mathbf X$ to the semi-circular law assuming that ${\mathbf E} X_{jk}=0$, ${\mathbf E} X_{jk}^2=1$ and that $$ \sup_{n\ge1}\sup_{1\le j,k\le n}{\mathbf E}|X_{jk}|^4=:μ_4<\infty \quad \text{and} \sup_{1\le j,k\le n}|X_{jk}|\le D_0n^{\frac14}. $$ By means of a recursion argument it is shown that the Kolmogorov distance between the expected spectral distribution of…
Consider an $N\times N$ hermitian random matrix with independent entries, not necessarily Gaussian, a so called Wigner matrix. It has been conjectured that the local spacing distribution, i.e. the distribution of the distance between nearest neighbour eigenvalues in some part of the spectrum is, in the limit as $N\to\infty$, the same as that of hermitian random matrices from GUE. We prove this conjecture for a certain subclass of hermitian Wigner matrices.
We investigate the spectral norms of symmetric $N \times N$ matrices from two pseudo-random ensembles. The first is the pseudo-Wigner ensemble introduced in "Pseudo-Wigner Matrices" by Soloveychik, Xiang and Tarokh and the second is its sample covariance-type analog defined in this work. Both ensembles are defined through the concept of $r$-independence by controlling the amount of randomness in the underlying matrices, and can be constructed from dual BCH codes. We show that when the measure of randomness $r$ grows as $N^ρ$, where $ρ\in (0,1]$ and $\varepsilon > 0$, the norm of the matrices i…
The spherical orthogonal, unitary, and symplectic ensembles (SOE/SUE/SSE) $S_β(N,r)$ consist of $N \times N$ real symmetric, complex hermitian, and quaternionic self-adjoint matrices of Frobenius norm $r$, made into a probability space with the uniform measure on the sphere. For each of these ensembles, we determine the joint eigenvalue distribution for each $N$, and we prove the empirical spectral measures rapidly converge to the semicircular distribution as $N \to \infty$. In the unitary case ($β=2$), we also find an explicit formula for the empirical spectral density for each $N$.
We present a large deviation principle at speed N for the largest eigenvalue of some additively deformed Wigner matrices. In particular this includes Gaussian ensembles with full-rank general deformation. For the non-Gaussian ensembles, the deformation should be diagonal, and we assume that the laws of the entries have sharp sub-Gaussian Laplace transforms and satisfy certain concentration properties. For these latter ensembles we establish the large deviation principle in a restricted range $(-\infty, x_c)$, where $x_c$ depends on the deformation only and can be infinite.
We present large deviations principles for the moments of the empirical spectral measure of Wigner matrices and empirical measure of $β$-ensembles in three cases : the case of Wigner matrices without Gaussian tails, that is Wigner matrices whose entries have tail distributions decreasing as $e^{-ct^α}$, for some constant $c>0$ and with $α\in (0,2)$, the case of Gaussian Wigner matrices, and the case of $β$-ensembles associated with a convex potential with polynomial growth.
It is a classical result of Wigner that for an hermitian matrix with independent entries on and above the diagonal, the mean empirical eigenvalue distribution converges weakly to the semicircle law as matrix size tends to infinity. In this paper, we prove analogs of Wigner's theorem for random matrices taken from all infinitesimal versions of classical symmetric spaces. This is a class of models which contains those studied by Wigner and Dyson, along with seven others arising in condensed matter physics. Like Wigner's, our results are universal in that they only depend on certain assumptions a…
We show that the distribution of (a suitable rescaling of) a single eigenvalue gap $λ_{i+1}(M_n)-λ_i(M_n)$ of a random Wigner matrix ensemble in the bulk is asymptotically given by the Gaudin-Mehta distribution, if the Wigner ensemble obeys a finite moment condition and matches moments with the GUE ensemble to fourth order. This is new even in the GUE case, as prior results establishing the Gaudin-Mehta law required either an averaging in the eigenvalue index parameter $i$, or fixing the energy level $u$ instead of the eigenvalue index. The extension from the GUE case to the Wigner case is a r…
Let $X_N$ be an $N\ts N$ random symmetric matrix with independent equidistributed entries. If the law $P$ of the entries has a finite second moment, it was shown by Wigner \cite{wigner} that the empirical distribution of the eigenvalues of $X_N$, once renormalized by $\sqrt{N}$, converges almost surely and in expectation to the so-called semicircular distribution as $N$ goes to infinity. In this paper we study the same question when $P$ is in the domain of attraction of an $α$-stable law. We prove that if we renormalize the eigenvalues by a constant $a_N$ of order $N^{\frac{1}α}$, the correspo…
We consider $N\times N$ Hermitian or symmetric random matrices with independent entries. The distribution of the $(i,j)$-th matrix element is given by a probability measure $ν_{ij}$ whose first two moments coincide with those of the corresponding Gaussian ensemble. We prove that the joint probability distribution of the components of eigenvectors associated with eigenvalues close to the spectral edge agrees with that of the corresponding Gaussian ensemble. For eigenvectors associated with bulk eigenvalues, the same conclusion holds provided the first four moments of the distribution $ν_{ij}$ c…
We show that a Wigner induced random orthonormal basis of spherical harmonics is almost surely quantum ergodic. Here, a random basis is identified with an element of the product probability space of unitary groups, each endowed with the measure induced by the generalized Wigner ensemble. This yields a semi-classical realization of the probabilistic quantum unique ergodicity result for Wigner eigenvectors of Bourgade-Yau. At the same time, this generalizes a similar result due to Zelditch, who uses Haar measure on the unitary groups in defining the notion of a random basis.
We consider the asymptotic behaviour of the second-order correlation function of the characteristic polynomial of a real symmetric random matrix. Our main result is that the existing result for a random matrix from the Gaussian Orthogonal Ensemble essentially continues to hold for a general real symmetric Wigner matrix.
Random Matrix Theory (RMT) has successfully modeled diverse systems, from energy levels of heavy nuclei to zeros of $L$-functions; this correspondence has allowed RMT to successfully predict many number theoretic behaviors. However there are some operations which to date have no RMT analogue. Our motivation is to find an RMT analogue of Rankin-Selberg convolution, which constructs a new $L$-functions from an input pair. We report one such attempt; while it does not appear to model convolution, it does create new ensembles with properties hybridizing those of its constituents. For definiteness …
We study the spectral properties of the dilute Wigner random real symmetric n-dimensional matrices H such that the entries H(i,j) take zero value with probability 1-p/n. We prove that under rather general conditions on the probability distribution of H(i,j) the semicircle law is valid for the dilute Wigner ensemble in the limit of infinite n and p. In the second part of the paper we study the leading term of the correlation function of the resolvent G(z) of H with large enough Im z in the limit of infinite n and p such that 3/5 log n <log p < log n. We show that this leading term, when conside…
For each $N\geq 1$, let $G_N$ be a simple random graph on the set of vertices $[N]=\{1,2, ..., N\}$, which is invariant by relabeling of the vertices. The asymptotic behavior as $N$ goes to infinity of correlation functions: $$ \mathfrak C_N(T)= \mathbb E\bigg[ \prod_{(i,j) \in T} \Big(\mathbf 1_{\big(\{i,j\} \in G_N \big)} - \mathbb P(\{i,j\} \in G_N) \Big)\bigg], \ T \subset [N]^2 \textrm{finite}$$ furnishes informations on the asymptotic spectral properties of the adjacency matrix $A_N$ of $G_N$. Denote by $d_N = N\times \mathbb P(\{i,j\} \in G_N) $ and assume $d_N, N-d_N\underset{N \righta…
Consider the eigenvalues $λ_i(M_n)$ (in increasing order) of a random Hermitian matrix $M_n$ whose upper-triangular entries are independent with mean zero and variance one, and are exponentially decaying. By Wigner's semicircular law, one expects that $λ_i(M_n)$ concentrates around $γ_i \sqrt n$, where $\int_{-\infty}^{γ_i} ρ_{sc} (x) dx = \frac{i}{n}$ and $ρ_{sc}$ is the semicircular function. In this paper, we show that if the entries have vanishing third moment, then for all $1\le i \le n$ $$\E |λ_i(M_n)-\sqrt{n} γ_i|^2 = O(\min(n^{-c} \min(i,n+1-i)^{-2/3} n^{2/3}, n^{1/3+\eps})) ,$$ for so…
We investigate $β$-Generalized random Hermitian matrices ensemble sometimes called Chiral ensemble. We give global asymptotic of the density of eigenvalues or the statistical density. We investigate general method names as equilibrium measure method. When taking $n$ large limit we will see that the asymptotic density of eigenvalues generalize the Wigner semi-circle law.
We show that the Dyson Brownian Motion exhibits local universality after a very short time assuming that local rigidity and level repulsion hold. These conditions are verified, hence bulk spectral universality is proven, for a large class of Wigner-like matrices, including deformed Wigner ensembles and ensembles with non-stochastic variance matrices whose limiting densities differ from the Wigner semicircle law.
We study the fluctuations of eigenvalues from a class of Wigner random matrices that generalize the Gaussian orthogonal ensemble. We begin by considering an $n \times n$ matrix from the Gaussian orthogonal ensemble (GOE) or Gaussian symplectic ensemble (GSE) and let $x_k$ denote eigenvalue number $k$. Under the condition that both $k$ and $n-k$ tend to infinity with $n$, we show that $x_k$ is normally distributed in the limit. We also consider the joint limit distribution of $m$ eigenvalues from the GOE or GSE with similar conditions on the indices. The result is an $m$-dimensional normal dist…
We consider two classical ensembles of the random matrix theory: the Wigner matrices and sample covariance matrices, and prove Central Limit Theorem for linear eigenvalue statistics under rather weak (comparing with results known before) conditions on the number of derivatives of the test functions and also on the number of the entries moments. Moreover, we develop a universal method which allows one to obtain automatically the bounds for the variance of differentiable test functions, if there is a bound for the variance of the trace of the resolvent of random matrix. The method is applicable …
We consider the Wigner ensemble of Hermitian n-dimensional random matrices and study the correlation function K(s',s") of their moments in the limit when the numbers s', s" of the moments are proportional to n to the power 2/3. We show that the limiting expression of K does not depend on the moments of the random matrix elements. The proof is based on a combination of the arguments by Ya. Sinai and A. Soshnikov with the detailed study of a moment analog of the Inverse Participation Ratio of the Gaussian Unitary Invariant Ensemble (GUE).
We establish a moderate deviation principle (MDP) for the number of eigenvalues of a Wigner matrix in an interval close to the edge of the spectrum. Moreover we prove a MDP for the $i$th largest eigenvalue close to the edge. The proof relies on fine asymptotics of the variance of the eigenvalue counting function of GUE matrices due to Gustavsson. The extension to large families of Wigner matrices is based on the Tao and Vu Four Moment Theorem. Possible extensions to other random matrix ensembles are commented.
The paper studies the spectral properties of large Wigner, band and sample covariance random matrices with heavy tails of the marginal distributions of matrix entries.
The aim of this paper is to provide a novel proof for the Local Semicircle Law for the Wigner ensemble. The core of the proof is the intensive use of the algebraic structure that arises, i.e. resolvent expansions and resolvent identities. On the analytic side, concentration of measure results and high probability bounds are used. The conclusion is obtained using a bootstrapping argument that provides information about the change of the bounds from large to small scales. This approach leads to a new and shorter proof of the Weak Local Law for Wigner Matrices, that exploits heavily the algebraic…
We establish a central limit theorem for the log-determinant $\log|\det(M_n)|$ of a Wigner matrix $M_n$, under the assumption of four matching moments with either the GUE or GOE ensemble. More specifically, we show that this log-determinant is asymptotically distributed like $N(\log \sqrt{n!} - 1/2 \log n, 1/2 \log n)_\R$ when one matches moments with GUE, and $N(\log \sqrt{n!} - 1/4 \log n, 1/4 \log n)_\R$ when one matches moments with GOE.
We study the universality of spectral statistics of large random matrices. We consider $N\times N$ symmetric, hermitian or quaternion self-dual random matrices with independent, identically distributed entries (Wigner matrices) where the probability distribution for each matrix element is given by a measure $ν$ with a subexponential decay. Our main result is that the correlation functions of the local eigenvalue statistics in the bulk of the spectrum coincide with those of the Gaussian Orthogonal Ensemble (GOE), the Gaussian Unitary Ensemble (GUE) and the Gaussian Symplectic Ensemble (GSE), re…
We consider ensembles of $N \times N$ Hermitian Wigner matrices, whose entries are (up to the symmetry constraints) independent and identically distributed random variables. Assuming sufficient regularity for the probability density function of the entries, we show that the expectation of the density of states on {\it arbitrarily} small intervals converges to the semicircle law, as $N$ tends to infinity.
We describe Generalized Hermitian matrices ensemble sometimes called Chiral ensemble. We give global asymptotic of the density of eigenvalues or the statistical density. We will calculate a Laplace transform of such a density for finite $n$, which will be expressed through an hypergeometric function. When the dimensional of the hermitian matrix begin large enough, we will prove that the statistical density of eigenvalues converge in the tight topology to some probability measure, which generalize the Wigner semi-circle law.
We consider a Wigner-type ensemble, i.e. large hermitian $N\times N$ random matrices $H=H^*$ with centered independent entries and with a general matrix of variances $S_{xy}=\mathbb E|H_{xy}|^2$. The norm of $H$ is asymptotically given by the maximum of the support of the self-consistent density of states. We establish a bound on this maximum in terms of norms of powers of $S$ that substantially improves the earlier bound $2\| S\|^{1/2}_\infty$ given in [arXiv:1506.05098]. The key element of the proof is an effective Markov chain approximation for the contributions of the weighted Dyck paths a…
We consider the asymptotics of the second-order correlation function of the characteristic polynomial of a random matrix. We show that the known result for a random matrix from the Gaussian Unitary Ensemble essentially continues to hold for a general Hermitian Wigner matrix. Our proofs rely on an explicit formula for the exponential generating function of the second-order correlation function of the characteristic polynomial.
A known result in random matrix theory states the following: Given a random Wigner matrix $X$ which belongs to the Gaussian Orthogonal Ensemble (GOE), then such matrix $X$ has an invariant distribution under orthogonal conjugations. The goal of this work is to prove the converse, that is, if $X$ is a symmetric random matrix such that it is invariant under orthogonal conjugations, then such matrix $X$ belongs to the GOE. We will prove this using some elementary properties of the characteristic function of random variables.
Let $\mathbf{T}_{d, N}: Ω\to \mathbb{R}^{N^d}$ be a random real symmetric Wigner-type tensor. For unit vectors $(u_N^{(i, j)})_{i \in I, j \in [d-2]} \subset \mathbb{S}^{N-1}$, we study the contracted tensor ensemble \[ \left(\frac{1}{\sqrt{N}}\mathbf{T}_{d, N}\left[u_N^{(i, 1)} \otimes \cdots \otimes u_N^{(i, d-2)}\right]\right)_{i \in I}. \] For large $N$, we show that the joint spectral distribution of this ensemble is well-approximated by a semicircular family $(s_i)_{i \in I}$ whose covariance $(\mathbf{K}_{i, i'}^{(N)})_{i, i'\in I}$ is given by the rescaled overlaps of the corresponding…
