Efficient estimation of linear functionals of principal components

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

Authors Matthias Löffler, Richard Nickl, Vladimir Koltchinskii 

Publication date 5 May 2020

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

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

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)

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.

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Cited In (27)

• Principal components in linear mixed models with general bulk
• 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
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Uses Software

• fda (R)

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