Liberating dimension and spectral norm: A universal approach to spectral properties of sample covariance matrices

Abstract

In this paper, our objective is to present a constraining principle governing the spectral properties of the sample covariance matrix. This principle exhibits harmonious behavior across diverse limiting frameworks, eliminating the need for constraints on the rates of dimension $p$ and sample size $n$, as long as they both tend to infinity. We accomplish this by employing a suitable normalization technique on the original sample covariance matrix. Following this, we establish a harmonic central limit theorem for linear spectral statistics within this expansive framework. This achievement effectively eliminates the necessity for a bounded spectral norm on the population covariance matrix and relaxes constraints on the rates of dimension $p$ and sample size $n$, thereby significantly broadening the applicability of these results in the field of high-dimensional statistics. We illustrate the power of the established results by considering the test for covariance structure under high dimensionality, freeing both $p$ and $n$.