CLT for linear spectral statistics of normalized sample covariance matrices with the dimension much larger than the sample size

Abstract

Let $\mathbf{A} =\frac{1}{\sqrt{np}}(\mathbf{X} ^{T}\mathbf{X} -p\mathbf{I} _{n})$ where $\mathbf{X} $ is a $p\times n$ matrix, consisting of independent and identically distributed (i.i.d.) real random variables $X_{ij}$ with mean zero and variance one. When $p/n\to\infty$, under fourth moment conditions a central limit theorem (CLT) for linear spectral statistics (LSS) of $\mathbf{A} $ defined by the eigenvalues is established. We also explore its applications in testing whether a population covariance matrix is an identity matrix.