Efficient estimation of linear functionals of principal components

DOI10.1214/19-AOS1816MaRDI QIDQ2176629zbMATH OpenFDO

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, https://projecteuclid.org/euclid.aos/1581930143

zbMATH Keywords

asymptotic normalityprincipal component analysissemiparametric efficiencyspectral projections

Mathematics Subject Classification ID

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

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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