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CLT for spectra of submatrices of Wigner random matrices II. Stochastic evolution
CLT submatrices Wigner random matrices II Stochastic evolution
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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...