Functional CLT of eigenvectors for large sample covariance matrices
The authors investigate the property of the eigenvector matrix of a sample covariance matrix \(\mathbf{S}_n\). They establish the central limit theorem (CLT) of linear spectral statistics associated with a new form of empirical spectral distribution \(H^{\mathbf{S}_n}\) , based on eigenvectors and eigenvalues of the sample covariance matrix \(\mathbf{S}_n\). Using Bernstein polynomial approximations, they prove the central limit theorem for linear spectral statistics of \(H^{\mathbf{S}_n}\), indexed by a set of functions with continuous third-order derivatives over an interval including the support of the Marcenko-Pastur law. This result provides further evidences to support the conjecture that the eigenmatrix of a sample covariance matrix is asymptotically Haar distributed.
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