Relative perturbation bounds with applications to empirical covariance operators
From MaRDI portal
Publication:2111217
Abstract: The goal of this paper is to establish relative perturbation bounds, tailored for empirical covariance operators. Our main results are expansions for empirical eigenvalues and spectral projectors, leading to concentration inequalities and limit theorems. One of the key ingredients is a specific separation measure for population eigenvalues, which we call the relative rank, giving rise to a sharp invariance principle in terms of limit theorems, concentration inequalities and inconsistency results. Our framework is very general, requiring only moments and allows for a huge variety of dependence structures.
Recommendations
- Perturbation bounds for eigenspaces under a relative gap condition
- Asymptotics and concentration bounds for bilinear forms of spectral projectors of sample covariance
- Concentration inequalities and moment bounds for sample covariance operators
- Normal approximation and concentration of spectral projectors of sample covariance
- An \(\ell_{\infty}\) eigenvector perturbation bound and its application
Cites work
- scientific article; zbMATH DE number 5903238 (Why is no real title available?)
- scientific article; zbMATH DE number 1215246 (Why is no real title available?)
- scientific article; zbMATH DE number 1049347 (Why is no real title available?)
- scientific article; zbMATH DE number 1964693 (Why is no real title available?)
- scientific article; zbMATH DE number 2078178 (Why is no real title available?)
- scientific article; zbMATH DE number 6125590 (Why is no real title available?)
- scientific article; zbMATH DE number 6026126 (Why is no real title available?)
- A Bernstein type inequality and moderate deviations for weakly dependent sequences
- A bound on tail probabilities for quadratic forms in independent random variables whose distributions are not necessarily symmetric
- A note on the Hanson-Wright inequality for random vectors with dependencies
- An overview of relative \(\sin\Theta\) theorems for invariant subspaces of complex matrices
- Analytic perturbation theory for matrices and operators. Licensed ed
- Asymptotic equivalence of functional linear regression and a white noise inverse problem
- Asymptotic theory for the principal component analysis of a vector random function: Some applications to statistical inference
- Asymptotically efficient estimation of smooth functionals of covariance operators
- Asymptotics and concentration bounds for bilinear forms of spectral projectors of sample covariance
- Asymptotics of empirical eigenstructure for high dimensional spiked covariance
- Asymptotics of sample eigenstructure for a large dimensional spiked covariance model
- CLT in functional linear regression models
- Characterization of LIL behavior in Banach space
- Concentration inequalities and moment bounds for sample covariance operators
- Concentration inequalities. A nonasymptotic theory of independence
- Finite sample approximation results for principal component analysis: A matrix perturbation approach
- Functional data analysis.
- Large deviations of sums of independent random variables
- Limiting laws for divergent spiked eigenvalues and largest nonspiked eigenvalue of sample covariance matrices
- Mathematical foundations of infinite-dimensional statistical models
- Methodology and convergence rates for functional linear regression
- Minimax adaptive tests for the functional linear model
- Minimax and adaptive prediction for functional linear regression
- New dependence coefficients. Examples and applications to statistics
- Nonasymptotic upper bounds for the reconstruction error of PCA
- Nonparametric estimation of scalar diffusions based on low frequency data
- Normal approximation and concentration of spectral projectors of sample covariance
- On the distribution of the largest eigenvalue in principal components analysis
- Optimal eigen expansions and uniform bounds
- Optimal estimation and rank detection for sparse spiked covariance matrices
- Perturbation Bounds for Matrix Eigenvalues
- Perturbation bounds for eigenspaces under a relative gap condition
- Perturbation theory for linear operators.
- Phase transition of the largest eigenvalue for nonnull complex sample covariance matrices
- Principal component analysis.
- Random covariance matrices: universality of local statistics of eigenvalues
- Random matrix approximation of spectra of integral operators
- Random perturbation of low rank matrices: improving classical bounds
- Second order accurate distributed eigenvector computation for extremely large matrices
- Sharp nonasymptotic bounds on the norm of random matrices with independent entries
- Singular vectors under random perturbation
- Some estimates of norms of random matrices
- Statistical properties of kernel principal component analysis
- THE EIGEN- AND SINGULAR VALUES OF THE SUM AND PRODUCT OF LINEAR OPERATORS
- The dimension-free structure of nonhomogeneous random matrices
- The eigenvalues and eigenvectors of finite, low rank perturbations of large random matrices
- Theoretical foundations of functional data analysis, with an introduction to linear operators
- Theory for high-order bounds in functional principal components analysis
- Tracy-Widom limit for the largest eigenvalue of a large class of complex sample covariance matrices
- Upper and lower bounds for stochastic processes. Decomposition theorems
- User-friendly tail bounds for sums of random matrices
- Weakly dependent functional data
Cited in
(9)- Statistical inference for structured high-dimensional models. Abstracts from the workshop held March 11--17, 2018
- Quantitative limit theorems and bootstrap approximations for empirical spectral projectors
- Higher-order principal component analysis for the approximation of tensors in tree-based low-rank formats
- A note on the prediction error of principal component regression in high dimensions
- Perturbation bounds for eigenspaces under a relative gap condition
- Concentration inequalities and moment bounds for sample covariance operators
- Asymptotics and concentration bounds for bilinear forms of spectral projectors of sample covariance
- Mitigating the influence of the boundary on PDE-based covariance operators
- Van Trees inequality, group equivariance, and estimation of principal subspaces
This page was built for publication: Relative perturbation bounds with applications to empirical covariance operators
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2111217)
