Extreme eigenvalues of sample covariance matrices under generalized elliptical models with applications

Xiucai Ding, Jiahui Xie, Long Yu +1

We consider the extreme eigenvalues of the sample covariance matrix $Q=Y{Y}^{\ast }$ under the generalized elliptical model that $Y={\Sigma }^{1/2}XD.$ Here $\Sigma$ is a bounded $p\times p$ positive…