The Annals of Probability
- Ann. Probab.
- Volume 47, Number 5 (2019), 2619-2685.
Quantitative normal approximation of linear statistics of $\beta$-ensembles
We present a new approach, inspired by Stein’s method, to prove a central limit theorem (CLT) for linear statistics of $\beta$-ensembles in the one-cut regime. Compared with the previous proofs, our result requires less regularity on the potential and provides a rate of convergence in the quadratic Kantorovich or Wasserstein-2 distance. The rate depends both on the regularity of the potential and the test functions, and we prove that it is optimal in the case of the Gaussian Unitary Ensemble (GUE) for certain polynomial test functions.
The method relies on a general normal approximation result of independent interest which is valid for a large class of Gibbs-type distributions. In the context of $\beta$-ensembles, this leads to a multi-dimensional CLT for a sequence of linear statistics which are approximate eigenfunctions of the infinitesimal generator of Dyson Brownian motion once the various error terms are controlled using the rigidity results of Bourgade, Erdős and Yau.
Ann. Probab., Volume 47, Number 5 (2019), 2619-2685.
Received: September 2017
Revised: July 2018
First available in Project Euclid: 22 October 2019
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Primary: 60F05: Central limit and other weak theorems 60K35: Interacting random processes; statistical mechanics type models; percolation theory [See also 82B43, 82C43] 60B20: Random matrices (probabilistic aspects; for algebraic aspects see 15B52)
Secondary: 82B05: Classical equilibrium statistical mechanics (general)
Lambert, Gaultier; Ledoux, Michel; Webb, Christian. Quantitative normal approximation of linear statistics of $\beta$-ensembles. Ann. Probab. 47 (2019), no. 5, 2619--2685. doi:10.1214/18-AOP1314. https://projecteuclid.org/euclid.aop/1571731432