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Spectral statistics of high dimensional sample covariance matrix with unbounded population spectral norm (2104.03417v1)
Published 7 Apr 2021 in math.ST and stat.TH
Abstract: In this paper, we establish some new central limit theorems for certain spectral statistics of a high-dimensional sample covariance matrix under a divergent spectral norm population model. This model covers the divergent spiked population model as a special case. Meanwhile, the number of the spiked eigenvalues can either be fixed or grow to infinity. It is seen from our theorems that the divergence of population spectral norm affects the fluctuations of the linear spectral statistics in a fickle way, depending on the divergence rate.