Comparison theorem for some extremal eigenvalue statistics

Abstract

We introduce a method for the comparison of some extremal eigenvalue statistics of random matrices. For example, it allows one to compare the maximal eigenvalue gap in the bulk of two generalized Wigner ensembles, provided that the first four moments of their matrix entries match. As an application, we extend results of Ben Arous–Bourgade and Feng–Wei that identify the limit of the maximal eigenvalue gap in the bulk of the GUE to all complex Hermitian generalized Wigner matrices.

Locations

• The Annals of Probability - View - PDF
• arXiv (Cornell University) - View - PDF