Related papers: Asymptotics of Empirical Eigen-structure for Ultra…
We study the asymptotic distributions of the spiked eigenvalues and the largest nonspiked eigenvalue of the sample covariance matrix under a general covariance matrix model with divergent spiked eigenvalues, while the other eigenvalues are…
These expository notes serve as a reference for an accompanying post Morales-Jimenez et al. [2018]. In the spiked covariance model, we develop results on asymptotic normality of sample leading eigenvalues and certain projections of the…
In this paper, we derive high-dimensional asymptotic properties of the Moore-Penrose inverse and, as a byproduct, of various ridge-type inverses of the sample covariance matrix. In particular, the analytical expressions of the asymptotic…
Principal component analysis continues to be a powerful tool in dimension reduction of high dimensional data. We assume a variance-diverging model and use the high-dimension, low-sample-size asymptotics to show that even though the…
In a spiked population model, the population covariance matrix has all its eigenvalues equal to units except for a few fixed eigenvalues (spikes). Determining the number of spikes is a fundamental problem which appears in many scientific…
This paper develops nonasymptotic information inequalities for the estimation of the eigenspaces of a covariance operator. These results generalize previous lower bounds for the spiked covariance model, and they show that recent upper…
Principal component analysis (PCA) is a classical method for dimensionality reduction based on extracting the dominant eigenvectors of the sample covariance matrix. However, PCA is well known to behave poorly in the ``large $p$, small $n$''…
This paper studies the joint limiting behavior of extreme eigenvalues and trace of large sample covariance matrix in a generalized spiked population model, where the asymptotic regime is such that the dimension and sample size grow…
Principal component analysis is a useful dimension reduction and data visualization method. However, in high dimension, low sample size asymptotic contexts, where the sample size is fixed and the dimension goes to infinity,a paradox has…
In this paper, we consider a data matrix $X_N\in\mathbb{R}^{N\times p}$ where all the rows are i.i.d. samples in $\mathbb{R}^p$ of mean zero and covariance matrix $\Sigma\in\mathbb{R}^{p\times p}$. Here the population matrix $\Sigma$ is of…
We establish large sample approximations for an arbitray number of bilinear forms of the sample variance-covariance matrix of a high-dimensional vector time series using $ \ell_1$-bounded and small $\ell_2$-bounded weighting vectors.…
Dimension reduction for high-dimensional compositional data plays an important role in many fields, where the principal component analysis of the basis covariance matrix is of scientific interest. In practice, however, the basis variables…
Principal component analysis is a versatile tool to reduce dimensionality which has wide applications in statistics and machine learning. It is particularly useful for modeling data in high-dimensional scenarios where the number of…
The spiked covariance model has gained increasing popularity in high-dimensional data analysis. A fundamental problem is determination of the number of spiked eigenvalues, $K$. For estimation of $K$, most attention has focused on the use of…
We show that in a common high-dimensional covariance model, the choice of loss function has a profound effect on optimal estimation. In an asymptotic framework based on the Spiked Covariance model and use of orthogonally invariant…
This paper studies the impact of bootstrap procedure on the eigenvalue distributions of the sample covariance matrix under a high-dimensional factor structure. We provide asymptotic distributions for the top eigenvalues of bootstrapped…
We study improved approximations to the distribution of the largest eigenvalue $\hat{\ell}$ of the sample covariance matrix of $n$ zero-mean Gaussian observations in dimension $p+1$. We assume that one population principal component has…
Principal component analysis (PCA) aims at estimating the direction of maximal variability of a high-dimensional dataset. A natural question is: does this task become easier, and estimation more accurate, when we exploit additional…
A number of settings arise in which it is of interest to predict Principal Component (PC) scores for new observations using data from an initial sample. In this paper, we demonstrate that naive approaches to PC score prediction can be…
The proliferation of science and technology has led to the prevalence of voluminous data sets that are distributed across multiple machines. It is an established fact that conventional statistical methodologies may be unfeasible in the…