English

Testing in high-dimensional spiked models

Statistics Theory 2018-02-06 v2 Statistics Theory

Abstract

We consider the five classes of multivariate statistical problems identified by James (1964), which together cover much of classical multivariate analysis, plus a simpler limiting case, symmetric matrix denoising. Each of James' problems involves the eigenvalues of E1HE^{-1}H where HH and EE are proportional to high dimensional Wishart matrices. Under the null hypothesis, both Wisharts are central with identity covariance. Under the alternative, the non-centrality or the covariance parameter of HH has a single eigenvalue, a spike, that stands alone. When the spike is smaller than a case-specific phase transition threshold, none of the sample eigenvalues separate from the bulk, making the testing problem challenging. Using a unified strategy for the six cases, we show that the log likelihood ratio processes parameterized by the value of the sub-critical spike converge to Gaussian processes with logarithmic correlation. We then derive asymptotic power envelopes for tests for the presence of a spike.

Keywords

Cite

@article{arxiv.1509.07269,
  title  = {Testing in high-dimensional spiked models},
  author = {Iain M. Johnstone and Alexei Onatski},
  journal= {arXiv preprint arXiv:1509.07269},
  year   = {2018}
}

Comments

Includes Supplementary Material (see the second half of the file)

R2 v1 2026-06-22T11:04:20.137Z