Spectral properties of high dimensional rescaled sample correlation matrices

Abstract

High-dimensional sample correlation matrices are a crucial class of random matrices in multivariate statistical analysis. The central limit theorem (CLT) provides a theoretical foundation for statistical inference. In this paper, assuming that the data dimension increases proportionally with the sample size, we derive the limiting spectral distribution of the matrix $\widehat{\mathbf{R}}_n\mathbf{M}$ and establish the CLTs for the linear spectral statistics (LSS) of $\widehat{\mathbf{R}}_n\mathbf{M}$ in two structures: linear independent component structure and elliptical structure. In contrast to existing literature, our proposed spectral properties do not require $\mathbf{M}$ to be an identity matrix. Moreover, we also derive the joint limiting distribution of LSSs of $\widehat{\mathbf{R}}_n \mathbf{M}_1,\ldots,\widehat{\mathbf{R}}_n \mathbf{M}_K$. As an illustration, an application is given for the CLT.