Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1145734 | Journal of Multivariate Analysis | 2014 | 14 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Qinwen Wang, Jack W. Silverstein, Jian-feng Yao,