A note on the CLT of the LSS for sample covariance matrix from a spiked population model

Qinwen Wang, Jack W. Silverstein and Jian-feng Yao

Journal of Multivariate Analysis, 2014, vol. 130, issue C, 194-207

Abstract: In this note, we establish an asymptotic expansion for the centering parameter appearing in the central limit theorems for linear spectral statistic of large-dimensional sample covariance matrices when the population has a spiked covariance structure. As an application, we provide an asymptotic power function for the corrected likelihood ratio statistic for testing the presence of spike eigenvalues in the population covariance matrix. This result generalizes an existing formula from the literature where only one simple spike exists.

Keywords: Large-dimensional sample covariance matrices; Spiked population model; Central limit theorem; Centering parameter; Factor models (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:130:y:2014:i:c:p:194-207

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DOI: 10.1016/j.jmva.2014.04.021

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