{"doi":"10.1214/22-AIHP1304","main_file_link":[{"url":"https://doi.org/10.48550/arXiv.2112.11382","open_access":"1"}],"_id":"14667","type":"journal_article","volume":59,"quality_controlled":"1","title":"Functional CLT for non-Hermitian random matrices","date_published":"2023-11-01T00:00:00Z","article_processing_charge":"No","acknowledgement":"The first author was partially supported by ERC Advanced Grant “RMTBeyond” No. 101020331. The second author was supported by ERC Advanced Grant “RMTBeyond” No. 101020331.\r\nThe authors are grateful to the anonymous referees and associated editor for carefully reading this paper and providing helpful comments that improved the quality of the article. Also the authors would like to thank Peter Forrester for pointing out the reference [12] that was absent in the previous version of the manuscript.","status":"public","date_updated":"2023-12-11T12:36:56Z","page":"2083-2105","publication_status":"published","intvolume":"        59","scopus_import":"1","user_id":"2DF688A6-F248-11E8-B48F-1D18A9856A87","publication":"Annales de l'institut Henri Poincare (B) Probability and Statistics","abstract":[{"lang":"eng","text":"For large dimensional non-Hermitian random matrices X with real or complex independent, identically distributed, centered entries, we consider the fluctuations of f (X) as a matrix where f is an analytic function around the spectrum of X. We prove that for a generic bounded square matrix A, the quantity Tr f (X)A exhibits Gaussian fluctuations as the matrix size grows to infinity, which consists of two independent modes corresponding to the tracial and traceless parts of A. We find a new formula for the variance of the traceless part that involves the Frobenius norm of A and the L2-norm of f on the boundary of the limiting spectrum. "},{"text":"On étudie les fluctuations de f (X), où X est une matrice aléatoire non-hermitienne de grande taille à coefficients i.i.d. (réels ou complexes), et f une fonction analytique sur un domaine qui contient le spectre de X. On prouve que, pour une matrice carrée générique et bornée A, les fluctuations de la quantité tr f (X)A sont asymptotiquement gaussiennes et comportent deux modes indépendants, correspondant aux composantes traciale et de trace nulle de A. Une nouvelle formule est établie pour la variance de la composante de trace nulle, qui fait intervenir la norme de Frobenius de A et la norme L2 de f sur la frontière du spectre limite.","lang":"fre"}],"oa_version":"Preprint","citation":{"ama":"Erdös L, Ji HC. Functional CLT for non-Hermitian random matrices. <i>Annales de l’institut Henri Poincare (B) Probability and Statistics</i>. 2023;59(4):2083-2105. doi:<a href=\"https://doi.org/10.1214/22-AIHP1304\">10.1214/22-AIHP1304</a>","ista":"Erdös L, Ji HC. 2023. Functional CLT for non-Hermitian random matrices. Annales de l’institut Henri Poincare (B) Probability and Statistics. 59(4), 2083–2105.","apa":"Erdös, L., &#38; Ji, H. C. (2023). Functional CLT for non-Hermitian random matrices. <i>Annales de l’institut Henri Poincare (B) Probability and Statistics</i>. Institute of Mathematical Statistics. <a href=\"https://doi.org/10.1214/22-AIHP1304\">https://doi.org/10.1214/22-AIHP1304</a>","short":"L. Erdös, H.C. Ji, Annales de l’institut Henri Poincare (B) Probability and Statistics 59 (2023) 2083–2105.","chicago":"Erdös, László, and Hong Chang Ji. “Functional CLT for Non-Hermitian Random Matrices.” <i>Annales de l’institut Henri Poincare (B) Probability and Statistics</i>. Institute of Mathematical Statistics, 2023. <a href=\"https://doi.org/10.1214/22-AIHP1304\">https://doi.org/10.1214/22-AIHP1304</a>.","ieee":"L. Erdös and H. C. Ji, “Functional CLT for non-Hermitian random matrices,” <i>Annales de l’institut Henri Poincare (B) Probability and Statistics</i>, vol. 59, no. 4. Institute of Mathematical Statistics, pp. 2083–2105, 2023.","mla":"Erdös, László, and Hong Chang Ji. “Functional CLT for Non-Hermitian Random Matrices.” <i>Annales de l’institut Henri Poincare (B) Probability and Statistics</i>, vol. 59, no. 4, Institute of Mathematical Statistics, 2023, pp. 2083–105, doi:<a href=\"https://doi.org/10.1214/22-AIHP1304\">10.1214/22-AIHP1304</a>."},"publication_identifier":{"issn":["0246-0203"]},"ec_funded":1,"department":[{"_id":"LaEr"}],"project":[{"grant_number":"101020331","call_identifier":"H2020","name":"Random matrices beyond Wigner-Dyson-Mehta","_id":"62796744-2b32-11ec-9570-940b20777f1d"}],"month":"11","article_type":"original","day":"01","issue":"4","language":[{"iso":"eng"}],"author":[{"id":"4DBD5372-F248-11E8-B48F-1D18A9856A87","last_name":"Erdös","full_name":"Erdös, László","orcid":"0000-0001-5366-9603","first_name":"László"},{"last_name":"Ji","full_name":"Ji, Hong Chang","first_name":"Hong Chang","id":"dd216c0a-c1f9-11eb-beaf-e9ea9d2de76d"}],"year":"2023","publisher":"Institute of Mathematical Statistics","external_id":{"arxiv":["2112.11382"]},"date_created":"2023-12-10T23:01:00Z","oa":1}