Abstract
We study the spectral measure of Gaussian Wigner's matrices and prove that it satisfies a large deviation principle. We show that the good rate function which governs this principle achieves its minimum value at Wigner's semicircular law, which entails the convergence of the spectral measure to the semicircular law. As a conclusion, we give some further examples of random matrices with spectral measure satisfying a large deviation principle and argue about Voiculescu's non commutative entropy.
Original language | English (US) |
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Pages (from-to) | 517-542 |
Number of pages | 26 |
Journal | Probability Theory and Related Fields |
Volume | 108 |
Issue number | 4 |
DOIs | |
State | Published - Aug 1997 |
ASJC Scopus subject areas
- Analysis
- Statistics and Probability
- Statistics, Probability and Uncertainty