  Statistics derived from the eigenvalues of sample covariance matrices are
called spectral statistics, and they play a central role in multivariate
testing. Although bootstrap methods are an established approach to
approximating the laws of spectral statistics in low-dimensional problems,
these methods are relatively unexplored in the high-dimensional setting. The
aim of this paper is to focus on linear spectral statistics as a class of
prototypes for developing a new bootstrap in high-dimensions --- and we refer
to this method as the Spectral Bootstrap. In essence, the method originates
from the parametric bootstrap, and is motivated by the notion that, in high
dimensions, it is difficult to obtain a non-parametric approximation to the
full data-generating distribution. From a practical standpoint, the method is
easy to use, and allows the user to circumvent the difficulties of complex
asymptotic formulas for linear spectral statistics. In addition to proving the
consistency of the proposed method, we provide encouraging empirical results in
a variety of settings. Lastly, and perhaps most interestingly, we show through
simulations that the method can be applied successfully to statistics outside
the class of linear spectral statistics, such as the largest sample eigenvalue
and others.
