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arXiv · 2510.04185

Asymptotic distributions of four linear hypotheses test statistics under generalized spiked model

Zhijun Liu·Jiang Hu·Zhidong Bai·Zhihui Lv
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Abstract

In this paper, we establish the Central Limit Theorem (CLT) for linear spectral statistics (LSSs) of large-dimensional generalized spiked sample covariance matrices, where the spiked eigenvalues may be either bounded or diverge to infinity. Building upon this theorem, we derive the asymptotic distributions of linear hypothesis test statistics under the generalized spiked model, including Wilks' likelihood ratio test statistic U, the Lawley-Hotelling trace test statistic W, and the Bartlett-Nanda-Pillai trace test statistic V. Due to the complexity of the test functions, explicit solutions for the contour integrals in our calculations are generally intractable. To address this, we employ Taylor series expansions to approximate the theoretical results in the asymptotic regime. We also derive asymptotic power functions for three test criteria above, and make comparisons with Roy's largest root test under specific scenarios. Finally, numerical simulations are conducted to validate the accuracy of our asymptotic approximations.

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Zhijun Liu, Jiang Hu, Zhidong Bai, Zhihui Lv. 2025-10-05. Asymptotic distributions of four linear hypotheses test statistics under generalized spiked model. https://arxiv.org/abs/2510.04185

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