Spiked separable covariance matrices and principal components

Xiucai Ding, Fan Yang

We introduce a class of separable sample covariance matrices of the form ${\tilde{\mathcal{Q}}}_1:={\tilde{A}}^{1/2}X\tilde{B}{X}^{\ast }{\tilde{A}}^{1/2}.$ Here $\tilde{A}$…