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An invariant ensemble of $Ntimes N$ random matrices can be characterised by a joint distribution for eigenvalues $P(lambda_1,cdots,lambda_N)$. The study of the distribution of linear statistics, i.e. of quantities of the form $L=(1/N)sum_if(lambda_i)$ where $f(x)$ is a given function, appears in many physical problems. In the $Ntoinfty$ limit, $L$ scales as $Lsim N^eta$, where the scaling exponent $eta$ depends on the ensemble and the function $f$. Its distribution can be written under the form $P_N(s=N^{-eta},L)simeq A_{beta,N}(s),expbig{-(beta N^2/2),Phi(s)big}$, where $betain{1,,2,,4}$ is the Dyson index. The Coulomb gas technique naturally provides the large deviation function $Phi(s)$, which can be efficiently obtained thanks to a thermodynamic identity introduced earlier. We conjecture the pre-exponential function $A_{beta,N}(s)$. We check our conjecture on several well controlled cases within the Laguerre and the Jacobi ensembles. Then we apply our main result to a situation where the large deviation function has no minimum (and $L$ has infinite moments)~: this arises in the statistical analysis of the Wigner time delay for semi-infinite multichannel disordered wires (Laguerre ensemble). The statistical analysis of the Wigner time delay then crucially depends on the pre-exponential function $A_{beta,N}(s)$, which ensures the decay of the distribution for large argument.
Invariant ensembles of random matrices are characterized by the distribution of their eigenvalues ${lambda_1,cdots,lambda_N}$. We study the distribution of truncated linear statistics of the form $tilde{L}=sum_{i=1}^p f(lambda_i)$ with $p<N$. This pr
Using the properties of random M{o}bius transformations, we investigate the statistical properties of the reflection coefficient in a random chain of lossy scatterers. We explicitly determine the support of the distribution and the condition for cohe
We analyse dynamical large deviations of quantum trajectories in Markovian open quantum systems in their full generality. We derive a {em quantum level-2.5 large deviation principle} for these systems, which describes the joint fluctuations of time-a
The exact statistics of an arbitrary quantum observable is analytically obtained. Due to the probabilistic nature of a sequence of intermediate measurements and stochastic fluctuations induced by the interaction with the environment, the measurement
Diffusion of impenetrable particles in a crowded one-dimensional channel is referred as the single file diffusion. The particles do not pass each other and the displacement of each individual particle is sub-diffusive. We analyse a simple realization