Limiting laws for extreme eigenvalues of large-dimensional spiked Fisher matrices with a divergent number of spikes

09/22/2020

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by   Junshan Xie, et al.

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Consider the p× p matrix that is the product of a population covariance matrix and the inverse of another population covariance matrix. Suppose that their difference has a divergent rank with respect to p, when two samples of sizes n and T from the two populations are available, we construct its corresponding sample version. In the regime of high dimension where both n and T are proportional to p, we investigate the limiting laws for extreme (spiked) eigenvalues of the sample (spiked) Fisher matrix when the number of spikes is divergent and these spikes are unbounded.