This article is cited in 21 papers

Limit theorems for spectra of random matrices with martingale structure

F. Götze^a, A. N. Tikhomirov<sup>b

a</sup> Bielefeld University
^b Syktyvkar State University

Abstract: We study classical ensembles of real symmetric random matrices introduced by Eugene Wigner. We discuss Stein's method for the asymptotic approximation of expectations of functions of the normalized eigenvalue counting measure of high dimensional matrices. The method is based on a differential equation for the density of the semicircle law.

Keywords: random matrices, Stein's method, semicircle law.

Received: 20.12.2003

Language: English

DOI: 10.4213/tvp153

 English version: Theory of Probability and its Applications, 2007, 51:1, 42–64

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