Extremal eigenvalues of sample covariance matrices with general population

Jinwoong Kwak, Ji Oon Lee, Jaewhi Park

We consider the eigenvalues of sample covariance matrices of the form $\mathcal{Q}=({\Sigma }^{1/2}X)({\Sigma }^{1/2}X{)}^{\ast }$. The sample $X$ is an $M\times N$ rectangular random matrix with real ind…