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arXiv · 2509.25451

Stein's method, Markov processes, and linear eigenvalue statistics of random matrices

David Grzybowski·Mark Meckes
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Abstract

We show how the infinitesimal exchangeable pairs approach to Stein's method combines naturally with the theory of Markov semigroups. We present a multivariate normal approximation theorem for functions of a random variable invariant with respect to a Markov semigroup. This theorem provides a Wasserstein distance bound in terms of quantities related to the infinitesimal generator of the semigroup. As an application, we deduce a rate of convergence for Johansson's celebrated theorem on linear eigenvalue statistics of Gaussian random matrix ensembles.

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David Grzybowski, Mark Meckes. 2025-09-29. Stein's method, Markov processes, and linear eigenvalue statistics of random matrices. https://arxiv.org/abs/2509.25451

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