Convergence of the largest eigenvalue of normalized sample covariance   matrices when p and n both tend to infinity with their ratio converging to   zero
  Let $\mathbf{X}_p=(\mathbf{s}_1,...,\mathbf{s}_n)=(X_{ij})_{p \times n}$ where $X_{ij}$'s are independent and identically distributed (i.i.d.) random variables with $EX_{11}=0,EX_{11}^2=1$ and $EX_{11}^4<\infty$. It is showed that the largest eigenvalue of the random matrix $\mathbf{A}_p=\frac{1}{2\sqrt{np}}(\mathbf{X}_p\mathbf{X}_p^{\prime}-n\mathbf{I}_p)$ tends to 1 almost surely as $p\rightarrow\infty,n\rightarrow\infty$ with $p/n\rightarrow0$. 
B. B. Chen, G. M. Pan
math.ST stat.TH