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arxiv: 1504.05106 · v4 · pith:NCUXW2JFnew · submitted 2015-04-20 · 🧮 math.PR

Fluctuations for analytic test functions in the Single Ring Theorem

classification 🧮 math.PR
keywords analyticdistributionringfunctionslimitmatrixrandomsingle
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We consider a non-Hermitian random matrix $A$ whose distribution is invariant under the left and right actions of the unitary group. The so-called Single Ring Theorem, proved by Guionnet, Krishnapur and Zeitouni, states that the empirical eigenvalue distribution of $A$ converges to a limit measure supported by a ring $S$. In this text, we establish the convergence in distribution of random variables of the type $Tr (f(A)M)$ where $f$ is analytic on $S$ and the Frobenius norm of $M$ has order $\sqrt{N}$. As corollaries, we obtain central limit theorems for linear spectral statistics of $A$ (for analytic test functions) and for finite rank projections of $f(A)$ (like matrix entries). As an application, we locate outliers in multiplicative perturbations of $A$.

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