CLT for Linear Spectral Statistics in High-Dimensional Random Effects Models

Ran Xie, Iain Johnstone

We study sample covariance matrices arising from multi-level components of variance. Thus, let $B_n=\frac{1}{N}{\sum }_{j=1}^N{T}_j^{1/2}{x}_j{x}_j^T{T}_j^{1/2}$, where $x_j\in R^n$ are…