Singular vector distribution of sample covariance matrices

Abstract: We consider a class of sample covariance matrices of the form $Q=TXX^{}T^,$ where $X=(x_{ij})$ is an $M \times N$ rectangular matrix consisting of i.i.d entries and $T$ is a deterministic matrix satisfying $T^*T$ is diagonal. Assuming $M$ is comparable to $N$, we prove that the distribution of the components of the singular vectors close to the edge singular values agrees with that of Gaussian ensembles provided the first two moments of $x_{ij}$ coincide with the Gaussian random variables. For the singular vectors associated with the bulk singular values, the same conclusion holds if the first four moments of $x_{ij}$ match with those of Gaussian random variables. Similar results have been proved for Wigner matrices by Knowles and Yin.