English

Singular vector and singular subspace distribution for the matrix denoising model

Statistics Theory 2020-07-08 v2 Probability Statistics Theory

Abstract

In this paper, we study the matrix denosing model Y=S+XY=S+X, where SS is a low-rank deterministic signal matrix and XX is a random noise matrix, and both are M×nM\times n. In the scenario that MM and nn are comparably large and the signals are supercritical, we study the fluctuation of the outlier singular vectors of YY. More specifically, we derive the limiting distribution of angles between the principal singular vectors of YY and their deterministic counterparts, the singular vectors of SS. Further, we also derive the distribution of the distance between the subspace spanned by the principal singular vectors of YY and that spanned by the singular vectors of SS. It turns out that the limiting distributions depend on the structure of the singular vectors of SS and the distribution of XX, and thus they are non-universal.

Keywords

Cite

@article{arxiv.1809.10476,
  title  = {Singular vector and singular subspace distribution for the matrix denoising model},
  author = {Zhigang Bao and Xiucai Ding and Ke Wang},
  journal= {arXiv preprint arXiv:1809.10476},
  year   = {2020}
}

Comments

Final version. Accepted by the Annals of Statistics

R2 v1 2026-06-23T04:20:19.469Z