On asymptotic expansion and CLT of linear eigenvalue statistics for sample covariance matrices when $N/M\rightarrow0$ (1104.3470v3)

Abstract: We study the renormalized real sample covariance matrix $H=X^TX/\sqrt{MN}-\sqrt{M/N}$ with $N/M\rightarrow0$ as $N, M\rightarrow \infty$ in this paper. And we always assume $M=M(N)$. Here $X=[X_{jk}]{M\times N}$ is an $M\times N$ real random matrix with i.i.d entries, and we assume $\mathbb{E}|X{11}|^{5+\delta}<\infty$ with some small positive $\delta$. The Stieltjes transform $m_N(z)=N^{-1}Tr(H-z)^{-1}$ and the linear eigenvalue statistics of $H$ are considered. We mainly focus on the asymptotic expansion of $\mathbb{E}{m_N(z)}$ in this paper. Then for some fine test function, a central limit theorem for the linear eigenvalue statistics of $H$ is established. We show that the variance of the limiting normal distribution coincides with the case of a real Wigner matrix with Gaussian entries.