Functional CLT for general sample covariance matrices

Authors: Jian Cui, Zhijun Liu, Jiang Hu, Zhidong Bai

Year: 2026

math.STmath.PR

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2026
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4
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Abstract

This paper studies the central limit theorems (CLTs) for linear spectral statistics (LSSs) of general sample covariance matrices, when the test functions belong to $C^3$, the class of functions with continuous third order derivatives. We consider matrices of the form $B_n=(1/n)T_p^{1/2}X_nX_n^{*}T_p^{1/2},$ where $X_n= (x_{i j} ) $ is a $p \times n$ matrix whose entries are independent and identically distributed (i.i.d.) real or complex random variables, and $T_p$ is a $p\times p$ nonrandom Hermitian nonnegative definite matrix with its spectral norm uniformly bounded in $p$. By using Bernstein polynomial approximation, we show that, under $\mathbb{E}|x_{ij}|^{8}<\infty$, the centered LSSs of $B_n$ have Gaussian limits. Under the stronger $\mathbb{E}|x_{ij}|^{10}<\infty$, we further establish convergence rates $O(n^{-1/2+κ})$ in Kolmogorov--Smirnov $O(n^{-1/2+κ})$, for any fixed $κ>0$.

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