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2021 Fluctuation around the circular law for random matrices with real entries
Giorgio Cipolloni, László Erdős, Dominik Schröder
Author Affiliations +
Electron. J. Probab. 26: 1-61 (2021). DOI: 10.1214/21-EJP591


We extend our recent result [22] on the central limit theorem for the linear eigenvalue statistics of non-Hermitian matrices X with independent, identically distributed complex entries to the real symmetry class. We find that the expectation and variance substantially differ from their complex counterparts, reflecting (i) the special spectral symmetry of real matrices onto the real axis; and (ii) the fact that real i.i.d. matrices have many real eigenvalues. Our result generalizes the previously known special cases where either the test function is analytic [49] or the first four moments of the matrix elements match the real Gaussian [59, 44]. The key element of the proof is the analysis of several weakly dependent Dyson Brownian motions (DBMs). The conceptual novelty of the real case compared with [22] is that the correlation structure of the stochastic differentials in each individual DBM is non-trivial, potentially even jeopardising its well-posedness.

Funding Statement

This project has received funding from the European Union’s Horizon 2020 research and innovation programme under the Marie Skłodowska-Curie Grant Agreement No. 665385
Dominik Schröder supported by Dr. Max Rössler, the Walter Haefner Foundation and the ETH Zürich Foundation


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Giorgio Cipolloni. László Erdős. Dominik Schröder. "Fluctuation around the circular law for random matrices with real entries." Electron. J. Probab. 26 1 - 61, 2021.


Received: 26 February 2020; Accepted: 30 January 2021; Published: 2021
First available in Project Euclid: 23 March 2021

arXiv: 2002.02438
Digital Object Identifier: 10.1214/21-EJP591

Primary: 15B52 , 60B20

Keywords: central limit theorem , Dyson Brownian motion , Girko’s formula , linear statistics , Local law

Vol.26 • 2021
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