Central limit theorems for multivariate Bessel processes in the freezing regime II: the covariance matrices

Bessel processes $(X_{t,k})_{t\ge0}$ in $N$ dimensions are classified via associated root systems and multiplicity constants $k\ge0$. They describe interacting Calogero-Moser-Sutherland particle systems with $N$ particles and are related to $\beta$-Hermite and $\beta$-Laguerre ensembles. Recently, several central limit theorems were derived for fixed $t>0$, fixed starting points, and $k\to\infty$. In this paper we extend the CLT in the A-case from start in 0 to arbitrary starting distributions by using a limit result for the corresponding Bessel functions. We also determine the eigenvalues and eigenvectors of the covariance matrices of the Gaussian limits and study applications to CLTs for the intermediate particles for $k\to\infty$ and then $N\to\infty$.