• Corpus ID: 248811185

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

  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},
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… 

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