Eigenvalue variance bounds for Wigner and covariance random matrices
Year: 2012
Type: article
Abstract: This work is concerned with finite range bounds on the variance of individual eigenvalues of Wigner random matrices, in the bulk and at the edge of the spectrum, as well as for some intermediate eigenvalues. Relying on the GUE example, which needs to be investigated first, the main bounds are extended to families of Hermitian Wigner matrices by means of the Tao and Vu Four Moment Theorem and recent localization results by Erdös, Yau and Yin. The case of real Wigner matrices is obtained from interlacing formulas. As an application, bounds on the expected 2-Wasserstein distance between the empirical spectral measure and the semicircle law are derived. Similar results are available for random covariance matrices.
Author: Dallaporta, Sandrine
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W2950020937