This paper establishes asymptotic properties for spiked empirical eigenvalues of sample co- variance matrices for high-dimensional data with both cross-sectional dependence and a dependent sample structure. A new finding from the established theoretical results is that spiked empirical...

A basic result is that the sample mean for i.i.d. observations is an unbiased estima- tor of the variance of the underlying distribution (see for instance Casella and Berger (2002)). But what happens if the observations are neither independent nor identi- cally distributed. What can we say? Can...