Joint CLT for eigenvalue statistics from several dependent large dimensional sample covariance matrices with application
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Let X_n=(x_ij) be a k × n data matrix with complex-valued, independent and standardized entries satisfying a Lindeberg-type moment condition. We consider simultaneously R sample covariance matrices B_nr=1/nQ_r X_n X_n^*Q_r^, 1< r< R, where the Q_r's are nonrandom real matrices with common dimensions p× k (k≥ p). Assuming that both the dimension p and the sample size n grow to infinity, the limiting distributions of the eigenvalues of the matrices {B_nr} are identified, and as the main result of the paper, we establish a joint central limit theorem for linear spectral statistics of the R matrices {B_nr}. Next, this new CLT is applied to the problem of testing a high dimensional white noise in time series modelling. In experiments the derived test has a controlled size and is significantly faster than the classical permutation test, though it does have lower power. This application highlights the necessity of such joint CLT in the presence of several dependent sample covariance matrices. In contrast, all the existing works on CLT for linear spectral statistics of large sample covariance matrices deal with a single sample covariance matrix (R=1).
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