• Corpus ID: 248811185

A CLT for the LSS of large dimensional sample covariance matrices with unbounded dispersions

@inproceedings{Liu2022ACF,
  title={A CLT for the LSS of large dimensional sample covariance matrices with unbounded dispersions},
  author={Zhijun Liu and Jiang Hu and Zhidong Bai and Haiyan Song},
  year={2022}
}

• Zhijun Liu, Jiang Hu, +1 author Haiyan Song
• Published 15 May 2022
• Mathematics

In this paper, we establish the central limit theorem (CLT) for linear spectral statistics (LSS) of large-dimensional sample covariance matrix when the population covariance matrices are not uniformly bounded, which is a non-trivial extension of the Bai-Silverstein theorem (BST) (2004). The latter has strongly stimulated the development of high-dimensional statistics, especially the application of random matrix theory to statistics. However, the assumption of uniform boundedness of the population covariance matrices is found strongly limited to the applications of BST. The aim of this paper is to re-move the blockages to the applications of BST. The new CLT, allows the spiked eigenvalues to exist and tend to infinity. It is interesting to note that the roles of either spiked eigenvalues or the bulk eigenvalues or both of the two are dominating in the CLT. Moreover, the results are checked by simulation studies with various population settings. The CLT for LSS is then applied for testing the hypothesis that a covariance matrix ΣΣΣ is equal to an identity matrix. For this, the asymptotic distributions for the corrected likelihood ratio test (LRT) and Nagao’s trace test (NT) under alternative are derived, and we also propose the asymptotic power of LRT and NT under certain alternatives.