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This article is cited in 36 scientific papers (total in 36 papers)
A refinement of the central limit theorem for random determinants
V. L. Girko National Taras Shevchenko University of Kyiv, The Faculty of Cybernetics
Abstract:
The paper proves the central limit theorem (the logarithmic law) for random determinants under weaker conditions than the author used earlier: if for any $n$ the random elements $\xi^{(n)}_{ij}$, $i,j=1,\dots,n$, of the matrix $\Xi=(\xi_{ij}/n)$ are independent, $\mathsf{E}\xi_{ij}^{(n)}=a$, $\operatorname{Var}\xi_{ij}^{(n)}=1$, and for some $\delta > 0$
$$
\sup_n\max_{i,j=1,\dots,n}\mathsf{E}|\xi_{ij}^{(n)}|^{4+\delta}<\infty,
$$
then
\begin{align*}
&\lim_{n\to\infty}\biggl\{\frac{\log\det\Xi^2-\log(n-1)!\,-\log(1+na^2)}{\sqrt{2\log n}}<x\biggr\}
\\
&\qquad=\frac1{\sqrt{2\pi}}\int_{-\infty}^x\exp\biggl(-\frac{u^2}2\biggr)\,du.
\end{align*}
Keywords:
logarithmic law, random determinants, method of perpendiculars, normal regularization (regularity).
Received: 04.02.1996
Citation:
V. L. Girko, “A refinement of the central limit theorem for random determinants”, Teor. Veroyatnost. i Primenen., 42:1 (1997), 63–73; Theory Probab. Appl., 42:1 (1998), 121–129
Linking options:
https://www.mathnet.ru/eng/tvp1712https://doi.org/10.4213/tvp1712 https://www.mathnet.ru/eng/tvp/v42/i1/p63
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Abstract page: | 410 | Full-text PDF : | 189 | First page: | 13 |
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