Limiting spectral distribution of normalized sample covariance matrices with p/n→0p/n→0

We consider a type of normalized sample covariance matrix without independence in columns, and derive the limiting spectral distribution when the number of variables pp and the sample size nn satisfy that p→∞p→∞, n→∞n→∞, and p/n→0p/n→0. This result is a supplement to the corresponding result under the case that p/n→c∈(0,∞)p/n→c∈(0,∞), which was obtained by Bai and Zhou (2008).