Process convergence of fluctuations of linear eigenvalue statistics of band Toeplitz matrices

Shambhu Nath Maurya and Koushik Saha

Statistics & Probability Letters, 2020, vol. 166, issue C

Abstract: We discuss the process convergence of the time dependent fluctuations of linear eigenvalue statistics of band Toeplitz matrices with independent Brownian motion entries, as the dimension of matrix goes to infinity. Here the band width bn of the n×n Toeplitz matrix goes to infinity with n at the rate of o(n).

Keywords: Process convergence; Linear eigenvalue statistics; Band Toeplitz matrix; Brownian motion; Gaussian distribution; Gaussian process (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.spl.2020.108875

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