Limiting spectral distribution of renormalized separable sample covariance matrices when $p/n\to 0$

Lili Wang, Debashis Paul

We are concerned with the behavior of the eigenvalues of renormalized sample covariance matrices of the form C_n=\sqrt{\frac{n}{p}}\left(\frac{1}{n}A_{p}^{1/2}X_{n}B_{n}X_{n}^{*}A_…