CLT for linear spectral statistics of normalized sample covariance matrices with the dimension much larger than the sample size

Binbin Chen, Guangming Pan

Let $\mathbf{A}=\frac{1}{\sqrt{np}}({\mathbf{X}}^T\mathbf{X}-p{\mathbf{I}}_n)$ where $\mathbf{X}$ is a $p\times n$ matrix, consisting of independent and identically distributed (i.i.d…