In the first part of the talk, I will review the basic ideas behind Stein’s method for normal approximation and present a general result which we obtained in arXiv:1706.10251 (joint work with Michel Ledoux and Christian Webb). This result states that for a Gibbs measure, an eigenfunction of the corresponding infinitesimal generator is approximately Gaussian in a sense which will be made precise. In the second part, I will report on several applications in random matrix theory. This includes a proof of Johansson’s central limit theorem for linear statistics of beta-ensembles on \R, as well as an application to circular beta-ensembles in the high temperature regime (based on arXiv:1909.01142, joint work with Adrien Hardy).
- Random Matrix Theory Seminars