Deviations from the Circular Law
classification
🧮 math.PR
math-phmath.MP
keywords
circularcomplexeigenvaluesmeasurestatisticsasymptoticscentralcertain
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Consider Ginibre's ensemble of $N \times N$ non-Hermitian random matrices in which all entries are independent complex Gaussians of mean zero and variance $\frac{1}{N}$. As $N \uparrow \infty$ the normalized counting measure of the eigenvalues converges to the uniform measure on the unit disk in the complex plane. In this note we describe fluctuations about this {\em Circular Law}. First we obtain finite $N$ formulas for the covariance of certain linear statistics of the eigenvalues. Asymptotics of these objects coupled with a theorem of Costin and Lebowitz then result in central limit theorems for a variety of these statistics.
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