An edge CLT for the log determinant of Gaussian ensembles

Iain M. Johnstone, Yegor Klochkov, Alexei Onatski, Damian Pavlyshyn

Published 2020-11-27Version 1

We derive a Central Limit Theorem (CLT) for $\log \left\vert\det \left( M_{N}/\sqrt{N}-2\theta_{N}\right)\right\vert,$ where $M_{N}$ is from the Gaussian Unitary or Gaussian Orthogonal Ensemble (GUE and GOE), and $2\theta_{N}$ is local to the edge of the semicircle law. Precisely, $2\theta_{N}=2+N^{-2/3}\sigma_N$ with $\sigma_N$ being either a constant (possibly negative), or a sequence of positive real numbers, slowly diverging to infinity so that $\sigma_N \ll \log^{2} N$. For slowly growing $\sigma_N$, our proofs hold for general Gaussian $\beta$-ensembles. We also extend our CLT to cover spiked GUE and GOE.