## Abstract

Consider the p×p matrix that is the product of a population covariance matrix and the inverse of another population covariance matrix. Suppose that their difference has a divergent rank with respect to p, when two samples of sizes n and T from the two populations are available, we construct its corresponding sample version. In the high-dimensional regime where both n and T are proportional to p, we investigate the limiting laws for extreme (spiked) eigenvalues of the sample (spiked) Fisher matrix when the number of spikes is divergent and these spikes are unbounded. We derive the convergence in probability of these spiked eigenvalues after scaling, and the central limit theorem for normalized spiked eigenvalues.

Original language | English |
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Article number | 104742 |

Journal | Journal of Multivariate Analysis |

Volume | 184 |

Early online date | 4 Mar 2021 |

DOIs | |

Publication status | Published - Jul 2021 |

## Scopus Subject Areas

- Statistics and Probability
- Numerical Analysis
- Statistics, Probability and Uncertainty

## User-Defined Keywords

- Extreme eigenvalue
- Fisher matrix
- Phase transition phenomenon
- Random matrix theory
- Spiked population model