Bai Z., Yao J., Zheng S. Large sample covariance matrices and high-dimensional data analysis

Cambridge: Cambridge University Press, 2015. — 322 p.Limiting spectral distributions
CLT for linear spectral statistics
The generalised variance and multiple correlation coefficient
The T2-statistic
Classification of data
Testing the general linear hypothesis
Testing independence of sets of variates
Testing hypotheses of equality of covariance matrices
Estimation of the population spectral distribution
Large-dimensional spiked population models
Efficient optimisation of a large financial portfolio.