Linear Statistics of Random Matrix Ensembles and the Airy Kernel

Chao Min, Yang Chen

Published 2018-06-29Version 1

In this paper, we continue to study the large $N$ behavior of the moment-generating function (MGF) of the linear statistics of $N\times N$ Hermitian matrices in the Gaussian unitary, symplectic, orthogonal ensembles (GUE, GSE, GOE) and Laguerre unitary, symplectic, orthogonal ensembles (LUE, LSE, LOE). From the finite $N$ Fredholm determinant expression of the MGF of the linear statistics \cite{Min201601}, we find the large $N$ asymptotics of the MGF associated with the Airy kernel in these Gaussian and Laguerre ensembles. Then we obtain the mean and variance of the suitably scaled linear statistics. We show that there is an equivalence between the large $N$ behavior of the MGF of the scaled linear statistics in Gaussian and Laguerre ensembles, which leads to the statistical equivalence between the mean and variance of suitably scaled linear statistics in Gaussian and Laguerre ensembles. In the end, we use two different methods to obtain the large $N$ behavior of the MGF for another type of linear statistics in GUE. The mean and variance of the linear statistics then follows.