Eigenvectors of some large sample covariance matrix ensembles
Ledoit, Olivier ; Péché, Sandrine
In: Probability Theory and Related Fields, 2011, vol. 151, no. 1-2, p. 233-264
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- We consider sample covariance matrices $${S_N=\frac{1}{p}\Sigma_N^{1/2}X_NX_N^* \Sigma_N^{1/2}}$$ where X N is a N × p real or complex matrix with i.i.d. entries with finite 12th moment and ΣN is a N × N positive definite matrix. In addition we assume that the spectral measure of ΣN almost surely converges to some limiting probability distribution as N → ∞ and p/N → γ >0. We quantify the relationship between sample and population eigenvectors by studying the asymptotics of functionals of the type $${\frac{1}{N}\text{Tr} ( g(\Sigma_N) (S_N-zI)^{-1}),}$$ where I is the identity matrix, g is a bounded function and z is a complex number. This is then used to compute the asymptotically optimal bias correction for sample eigenvalues, paving the way for a new generation of improved estimators of the covariance matrix and its inverse