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  4. Central limit theorem for fluctuations of eigenvalues of real Wishart matrices

Central limit theorem for fluctuations of eigenvalues of real Wishart matrices

File(s)
Reeves_cornellgrad_0058F_13272.pdf (427.02 KB)
Permanent Link(s)
https://doi.org/10.7298/nskq-8574
https://hdl.handle.net/1813/112041
Collections
Cornell Theses and Dissertations
Author
Reeves, Thomas
Abstract

We prove a central limit theorem for fluctuations of individual eigenvalues of real Wishart matrices, following the approach of Chhaibi-Sosoe (2022) for the Gaussian beta ensemble. Central limit theorems in random matrix theory have been studied for many types of statistics and models, but our understanding of fine-scale statistics on the level of individual eigenvalues is often limited by the precision of available tools. In this work, we pursue an approach that circumvents traditional difficulties. From the tridiagonal representation of random matrix models, we obtain a recurrence for the characteristic polynomial that is difficult to analyze directly. To address this issue, we make use of a transformation that considerably simplifies the recurrence. The transformation is inspired by the EFGP (Eggarter-Figotin-Gredeskul-Pastur) transformation in the study of random Schrödinger operators. The resulting process can be analyzed by a classical martingale argument, thus establishing the central limit theorem.

Description
105 pages
Date Issued
2022-08
Keywords
central limit theorem
•
orthogonal polynomials
•
probability
•
random matrix theory
•
tridiagonal matrices
•
Wishart matrices
Committee Chair
Sosoe, Philippe
Committee Member
Kleinberg, Robert David
Damle, Anil
Degree Discipline
Applied Mathematics
Degree Name
Ph. D., Applied Mathematics
Degree Level
Doctor of Philosophy
Rights
Attribution-NonCommercial-NoDerivatives 4.0 International
Rights URI
https://creativecommons.org/licenses/by-nc-nd/4.0/
Type
dissertation or thesis
Link(s) to Catalog Record
https://newcatalog.library.cornell.edu/catalog/15578854

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