Fluctuations for matrix-valued Gaussian processes

We consider a symmetric matrix-valued Gaussian process $Y^{(n)}=(Y^{(n)}(t);t\ge0)$ and its empirical spectral measure process $μ^{(n)}=(μ_{t}^{(n)};t\ge0)$. Under some mild conditions on the covariance function of $Y^{(n)}$, we find an explicit expression for the limit distribution of $Z_F^{(n)} := \left( \big(Z_{f_1}^{(n)}(t),\ldots,Z_{f_r}^{(n)}(t)\big) ; t\ge0\right),$ where $F=(f_1,\dots, f_r)$, for $r\ge 1$, with each component belonging to a large class of test functions, and $Z_{f}^{(n)}(t) := n\int_{\mathbb{R}}f(x)μ_{t}^{(n)}(\text{d} x)-n\mathbb{E}\left[\int_{\mathbb{R}}f(x)μ_{t}^{(n)}(\text{d} x)\right].$ More precisely, we establish the stable convergence of $Z_F^{(n)}$ and determine its limiting distribution. An upper bound for the total variation distance of the law of $Z_{f}^{(n)}(t)$ to its limiting distribution, for a test function $f$ and $t\geq0$ fixed, is also given.

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