Central limit theorem for linear eigenvalue statistics of random matrices with independent entries

We consider $n\times n$ real symmetric and Hermitian Wigner random matrices $n^{-1/2}W$ with independent (modulo symmetry condition) entries and the (null) sample covariance matrices $n^{-1}X^*X$ with independent entries of $m\times n$ matrix $X$. Assuming first that the 4th cumulant (excess) $\kappa_4$ of entries of $W$ and $X$ is zero and that their 4th moments satisfy a Lindeberg type condition, we prove that linear statistics of eigenvalues of the above matrices satisfy the central limit theorem (CLT) as $n\to\infty$, $m\to\infty$, $m/n\to c\in[0,\infty)$ with the same variance as for Gaussian matrices if the test functions of statistics are smooth enough (essentially of the class $\mathbf{C}^5$). This is done by using a simple ``interpolation trick'' from the known results for the Gaussian matrices and the integration by parts, presented in the form of certain differentiation formulas. Then, by using a more elaborated version of the techniques, we prove the CLT in the case of nonzero excess of entries again for essentially $\mathbb{C}^5$ test function. Here the variance of statistics contains an additional term proportional to $\kappa_4$. The proofs of all limit theorems follow essentially the same scheme.Comment: Published in at http://dx.doi.org/10.1214/09-AOP452 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org

On a Limiting Distribution of Singular Values of Random Band Matrices

An equation is obtained for the Stieltjes transform of the normalized distribution of singular values of non-symmetric band random matrices in the limit when the band width and rank of the matrix simultaneously tend to infinity. Conditions under which this limit agrees with the quarter-circle law are found. An interesting particular case of lower triangular random matrices is also considered and certain properties of the corresponding limiting singular value distribution are given