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arxiv: 1410.4586 · v2 · pith:SPJDD4UHnew · submitted 2014-10-16 · 🧮 math.PR · math-ph· math.MP

Central limit theorem for linear eigenvalue statistics of elliptic random matrices

classification 🧮 math.PR math-phmath.MP
keywords matricesrandomellipticcentraleigenvaluelimitlinearreal
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We consider a class of elliptic random matrices which generalize two classical ensembles from random matrix theory: Wigner matrices and random matrices with iid entries. In particular, we establish a central limit theorem for linear eigenvalue statistics of real elliptic random matrices under the assumption that the test functions are analytic. As a corollary, we extend the results of Rider and Silverstein to real iid random matrices.

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