Asymptotic normality for eigenvalue statistics of a general sample covariance matrix when p/n and applications

DOI10.1214/23-AOS2300arXiv2109.06701MaRDI QIDQ6136598FDOQ6136598

Zeng Li, Jian-Feng Yao, Jiaxin Qiu

Publication date: 31 August 2023

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: The asymptotic normality for a large family of eigenvalue statistics of a general sample covariance matrix is derived under the ultra-high dimensional setting, that is, when the dimension to sample size ratio $p/noinfty$. Based on this CLT result, we first adapt the covariance matrix test problem to the new ultra-high dimensional context. Then as a second application, we develop a new test for the separable covariance structure of a matrix-valued white noise. Simulation experiments are conducted for the investigation of finite-sample properties of the general asymptotic normality of eigenvalue statistics, as well as the second test for separable covariance structure of matrix-valued white noise.

Full work available at URL: https://arxiv.org/abs/2109.06701

zbMATH Keywords

asymptotic normalityseparable covariancelinear spectral statisticsultra-dimensiongeneral sample covariance matrixmatrix white noise

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Hypothesis testing in multivariate analysis (62H15)

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