Quantitative CLT for linear eigenvalue statistics of Wigner matrices

Zhigang Bao, Yukun He

Published 2021-03-09Version 1

In this article, we establish a near-optimal convergence rate for the CLT of linear eigenvalue statistics of Wigner matrices, in Kolmogorov-Smirnov distance. For all test functions $f\in C^5(\mathbb R)$, we show that the convergence rate is either $N^{-1/2+\varepsilon}$ or $N^{-1+\varepsilon}$, depending on the first Chebyshev coefficient of $f$ and the third moment of the diagonal matrix entries. The condition that distinguishes these two rates is necessary and sufficient. For a general class of test functions, we further identify matching lower bounds for the convergence rates. In addition, we identify an explicit, non-universal contribution in the linear eigenvalue statistics, which is responsible for the slow rate $N^{-1/2+\varepsilon}$ for non-Gaussian ensembles. By removing this non-universal part, we show that the shifted linear eigenvalue statistics have the unified convergence rate $N^{-1+\varepsilon}$ for all test functions.