Efficient estimation of linear functionals of principal components

DOI10.1214/19-AOS1816zbMATH Open1440.62232arXiv1708.07642MaRDI QIDQ2176629FDOQ2176629

Authors: Matthias Löffler, Richard Nickl, Vladimir Koltchinskii 

Publication date: 5 May 2020

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: We study principal component analysis (PCA) for mean zero i.i.d. Gaussian observations $X_1,dots,X_n$ in a separable Hilbert space $mathbbH$ with unknown covariance operator $Sigma.$ The complexity of the problem is characterized by its effective rank $$ where $mtr(Sigma)$ denotes the trace of $Sigma$ and $|Sigma|$ denotes its operator norm. We develop a method of bias reduction in the problem of estimation of linear functionals of eigenvectors of $Sigma.$ Under the assumption that $$ we establish the asymptotic normality and asymptotic properties of the risk of the resulting estimators and prove matching minimax lower bounds, showing their semi-parametric optimality.

Full work available at URL: https://arxiv.org/abs/1708.07642

Recommendations

• Asymptotic efficiency in high-dimensional covariance estimation
• High-dimensional principal projections
• Asymptotically efficient estimation of smooth functionals of covariance operators
• scientific article; zbMATH DE number 1822207
• Sparse PCA: optimal rates and adaptive estimation

zbMATH Keywords

asymptotic normalityprincipal component analysissemiparametric efficiencyspectral projections

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Approximations to statistical distributions (nonasymptotic) (62E17)

Cites Work

• Asymptotic normality and optimalities in estimation of large Gaussian graphical models
• Weak convergence and empirical processes. With applications to statistics
• Functional data analysis.
• Asymptotic Statistics
• Confidence intervals for high-dimensional linear regression: minimax rates and adaptivity
• Confidence Intervals and Hypothesis Testing for High-Dimensional Regression
• Title not available (Why is that?)
• Confidence Intervals for Low Dimensional Parameters in High Dimensional Linear Models
• On asymptotically optimal confidence regions and tests for high-dimensional models
• On the distribution of the largest eigenvalue in principal components analysis
• Mathematical Foundations of Infinite-Dimensional Statistical Models
• Asymptotics of sample eigenstructure for a large dimensional spiked covariance model
• Asymptotic theory for the principal component analysis of a vector random function: Some applications to statistical inference
• Finite sample approximation results for principal component analysis: A matrix perturbation approach
• Sparse PCA: optimal rates and adaptive estimation
• Optimal detection of sparse principal components in high dimension
• A general theory of hypothesis tests and confidence regions for sparse high dimensional models
• Asymptotics of empirical eigenstructure for high dimensional spiked covariance
• Applications of the van Trees inequality: A Bayesian Cramér-Rao bound
• Asymptotic Theory for Principal Component Analysis
• The eigenvalues and eigenvectors of finite, low rank perturbations of large random matrices
• Rate-optimal posterior contraction for sparse PCA
• Bernstein-von Mises theorems for functionals of the covariance matrix
• Minimax sparse principal subspace estimation in high dimensions
• Semiparametric efficiency bounds for high-dimensional models
• Statistical and computational trade-offs in estimation of sparse principal components
• Learning Theory
• New asymptotic results in principal component analysis
• Concentration inequalities and moment bounds for sample covariance operators
• Asymptotics and concentration bounds for bilinear forms of spectral projectors of sample covariance
• Smooth principal component analysis over two-dimensional manifolds with an application to neuroimaging
• On the principal components of sample covariance matrices
• Normal approximation and concentration of spectral projectors of sample covariance
• Estimation of functionals of sparse covariance matrices
• Nonasymptotic upper bounds for the reconstruction error of PCA
• Confidence sets for spectral projectors of covariance matrices
• Asymptotically efficient estimation of smooth functionals of covariance operators
• Efficient estimation of linear functionals of principal components

Cited In (22)

• Bootstrapping the operator norm in high dimensions: error estimation for covariance matrices and sketching
• Efficient Multidimensional Diracs Estimation With Linear Sample Complexity
• Estimating covariance and precision matrices along subspaces
• Bootstrapping max statistics in high dimensions: near-parametric rates under weak variance decay and application to functional and multinomial data
• Wald Statistics in high-dimensional PCA
• Efficient estimation of smooth functionals in Gaussian shift models
• Quantitative limit theorems and bootstrap approximations for empirical spectral projectors
• Estimation of smooth functionals of location parameter in Gaussian and Poincaré random shift models.
• Sampled forms of functional PCA in reproducing kernel Hilbert spaces
• Inference for low-rank models
• Lower bounds for invariant statistical models with applications to principal component analysis
• Asymptotically efficient estimation of smooth functionals of covariance operators
• Rates of Bootstrap Approximation for Eigenvalues in High-Dimensional PCA
• Efficient estimation of linear functionals of principal components
• Distribution function estimation with calibration on principal components
• Estimation of smooth functionals in normal models: bias reduction and asymptotic efficiency
• Title not available (Why is that?)
• PCA-kernel estimation
• Title not available (Why is that?)
• Singular vector and singular subspace distribution for the matrix denoising model
• Inference for heteroskedastic PCA with missing data
• Estimation of smooth functionals in high-dimensional models: bootstrap chains and Gaussian approximation

Uses Software

• fda (R)

This page was built for publication: Efficient estimation of linear functionals of principal components

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2176629)