Central Limit Theorems for Linear Spectral Statistics on Large Regularized Covariance Matrices

In this thesis we shall consider sample covariance matrices Sn in the case when the dimension of the data increases with the sample size to infinity ,while the ratio approaches a fixed constant. We will derive a new statistic based on the general linear shrinkage estimator by Bodnar et al. (2014)[1] We will show that the new statistic is...