Gaussian fluctuations for random matrices with correlated entries
classification
🧮 math-ph
math.MP
keywords
matrixgaussianpolynomialsrandomadaptsargumentbasiscentered
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For random matrix ensembles with non-gaussian matrix elements that may exhibit some correlations, it is shown that centered traces of polynomials in the matrix converge in distribution to a Gaussian process whose covariance matrix is diagonal in the basis of Chebyshev polynomials. The proof is combinatorial and adapts Wigner's argument showing the convergence of the density of states to the semicircle law.
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