A note on the CLT of the LSS for sample covariance matrix from a spiked population model

@article{Wang2014ANO,
  title={A note on the CLT of the LSS for sample covariance matrix from a spiked population model},
  author={Qinwen Wang and Jack W. Silverstein and Jian-Feng Yao},
  journal={J. Multivariate Analysis},
  year={2014},
  volume={130},
  pages={194-207}
}
Abstract: In this note, we establish an asymptotic expansion for the centering parameter appearing in the central limit theorems for linear spectral statistic of large-dimensional sample covariance matrices when the population has a spiked covariance structure. As an application, we provide an asymptotic power function for the corrected likelihood ratio statistic for testing the presence of spike eigenvalues in the population covariance matrix. This result generalizes an existing formula from… CONTINUE READING

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