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arxiv: 1205.5403 · v2 · pith:IVYWLOVLnew · submitted 2012-05-24 · 🧮 math.PR · math-ph· math.MP

A quantitative central limit theorem for linear statistics of random matrix eigenvalues

classification 🧮 math.PR math-phmath.MP
keywords centrallimitlinearquantitativestatisticstheoremalmostclassical
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It is known that the fluctuations of suitable linear statistics of Haar distributed elements of the compact classical groups satisfy a central limit theorem. We show that if the corresponding test functions are sufficiently smooth, a rate of convergence of order almost $1/n$ can be obtained using a quantitative multivariate CLT for traces of powers that was recently proven using Stein's method of exchangeable pairs.

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