Eigenvectors of some large sample covariance matrix ensembles

Olivier Ledoit, Sandrine Péché

We consider sample covariance matrices $S_N=\frac{1}{p}{\Sigma }_N^{1/2}{X}_N{X}_N^{\ast }{\Sigma }_N^{1/2}$ where $X_N$ is a $N\times p$ real or complex matrix with i.i.d. entries with finite $12^{\rm th…