On Convergence Rates of Spiked Eigenvalue Estimates: A General Study of Global and Local Laws in Sample Covariance Matrices

Abstract

This paper investigates global and local laws for sample covariance matrices with general growth rates of dimensions. The sample size $N$ and population dimension $M$ can have the same order in logarithm, which implies that their ratio $M/N$ can approach zero, a constant, or infinity. These theories are utilized to determine the convergence rate of spiked eigenvalue estimates.