Asymptotic locations of bounded and unbounded eigenvalues of sample correlation matrices of certain factor models -- application to a components retention rule

Yohji Akama, Peng Tian

Let the dimension $N$ of data and the sample size $T$ tend to $\infty$ with $N/T\to c>0$. The spectral properties of a sample correlation matrix $\mathbf{C}$ and a sample covari…