High-dimensional central limit theorems for eigenvalue distributions of generalized Wishart processes

Jian Song; Jianfeng Yao; Wangjun Yuan

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arXiv · 1908.03304

High-dimensional central limit theorems for eigenvalue distributions of generalized Wishart processes

Jian Song·Jianfeng Yao·Wangjun Yuan

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Abstract

We consider eigenvalues of generalized Wishart processes as well as particle systems, of which the empirical measures converge to deterministic measures as the dimension goes to infinity. In this paper, we obtain central limit theorems to characterize the fluctuations of the empirical measures around the limit measures by using stochastic calculus. As applications, central limit theorems for the Dyson's Brownian motion and the eigenvalues of the Wishart process are recovered under slightly more general initial conditions, and a central limit theorem for the eigenvalues of a symmetric Ornstein-Uhlenbeck matrix process is obtained.

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Jian Song, Jianfeng Yao, Wangjun Yuan. 2019-08-09. High-dimensional central limit theorems for eigenvalue distributions of generalized Wishart processes. https://arxiv.org/abs/1908.03304

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