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CLT for spectra of submatrices of Wigner random matrices II. Stochastic evolution
CLT submatrices Wigner random matrices II Stochastic evolution
2010/11/22
We show that the global fluctuations of spectra of GOE and GUE matrices and their principal submatrices executing Dyson's Brownian motion are Gaussian in the limit of large matrix dimensions. For nest...
I use quaternion free probability calculus - an extension of free probability to non-Hermitian matrices - to derive mean spectral densities of sums of independent (free) unitary random matrices in the...