Convergence of eigenvector empirical spectral distribution of sample covariance matrices

DOI10.1214/19-AOS1832MaRDI QIDQ2196201zbMATH OpenFDO

Authors Yanyan Li

Publication date 28 August 2020

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

Full work available at URL https://arxiv.org/abs/1705.03954, https://projecteuclid.org/euclid.aos/1590480041

zbMATH Keywords

sample covariance matrixempirical spectral distributioneigenvector empirical spectral distributionMarčenko-Pastur distribution

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20)

Abstract: The eigenvector empirical spectral distribution (VESD) is a useful tool in studying the limiting behavior of eigenvalues and eigenvectors of covariance matrices. In this paper, we study the convergence rate of the VESD of sample covariance matrices to the deformed Marv{c}enko-Pastur (MP) distribution. Consider sample covariance matrices of the form $Sigm{a}^{1/2}X{X}^{\ast }Sigm{a}^{1/2}$, where $X=(x_{ij})$ is an $MimesN$ random matrix whose entries are independent random variables with mean zero and variance $N^{-1}$, and $Sigma$ is a deterministic positive-definite matrix. We prove that the Kolmogorov distance between the expected VESD and the deformed MP distribution is bounded by $N^{-1+epsilon}$ for any fixed $epsilon>0$, provided that the entries $sqrtN{x}_{ij}$ have uniformly bounded 6th moments and $|N/M-1|geau$ for some constant $au>0$. This result improves the previous one obtained in cite{XYZ2013}, which gave the convergence rate $O(N^{-1/2})$ assuming $i.i.d.$ $X$ entries, bounded 10th moment, $Sigma=I$ and $M<N$. Moreover, we also prove that under the finite $8$th moment assumption, the convergence rate of the VESD is $O(N^{-1/2+epsilon})$ almost surely for any fixed $epsilon>0$, which improves the previous bound $N^{-1/4+epsilon}$ in cite{XYZ2013}.

Recommendations

• Convergence rates of eigenvector empirical spectral distribution of large dimensional sample covariance matrix
• Rate of convergence in probability to the Marchenko-Pastur law
• The rate of convergence of spectra of sample covariance matrices
• A note on the convergence rate of the spectral distributions of large sample covariance matrices
• Convergence rates of spectral distributions of large dimensional quaternion sample covariance matrices

Cites work

• scientific article; zbMATH DE number 5691097 (Why is no real title available?)
• scientific article; zbMATH DE number 5204610 (Why is no real title available?)
• A necessary and sufficient condition for edge universality at the largest singular values of covariance matrices
• A necessary and sufficient condition for edge universality of Wigner matrices
• An overview of the estimation of large covariance and precision matrices
• Analysis of the limiting spectral distribution of large dimensional random matrices
• Anisotropic local laws for random matrices
• Application of Random Matrix Theory to Multivariate Statistics
• Applied multivariate statistical analysis.
• Asymptotic Theory for Principal Component Analysis
• Asymptotics of sample eigenstructure for a large dimensional spiked covariance model
• Averaging fluctuations in resolvents of random band matrices
• Concentration of measure and spectra of random matrices: applications to correlation matrices, elliptical distributions and beyond
• Convergence rate of eigenvector empirical spectral distribution of large Wigner matrices
• Convergence rate of expected spectral distributions of large random matrices. II: Sample covariance matrices
• Convergence rates of eigenvector empirical spectral distribution of large dimensional sample covariance matrix
• DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
• Edge universality of separable covariance matrices
• Eigenvectors of some large sample covariance matrix ensembles
• High dimensional covariance matrix estimation using a factor model
• Isotropic local laws for sample covariance and generalized Wigner matrices
• Large complex correlated Wishart matrices: fluctuations and asymptotic independence at the edges
• Limiting spectral distribution of renormalized separable sample covariance matrices when \(p/n\to 0\)
• Local circular law for the product of a deterministic matrix with a random matrix
• Multivariate analysis and Jacobi ensembles: largest eigenvalue, Tracy-Widom limits and rates of convergence
• No eigenvalues outside the support of the limiting empirical spectral distribution of a separable covariance matrix
• No eigenvalues outside the support of the limiting spectral distribution of large-dimensional sample covariance matrices
• On asymptotics of eigenvectors of large sample covariance matrix
• On the distribution of the largest eigenvalue in principal components analysis
• On the eigenvectors of large dimensional sample covariance matrices
• On the empirical distribution of eigenvalues of a class of large dimensional random matrices
• Performance of Statistical Tests for Single-Source Detection Using Random Matrix Theory
• Rate of convergence in probability to the Marchenko-Pastur law
• Rotational Invariant Estimator for General Noisy Matrices
• Sample Eigenvalue Based Detection of High-Dimensional Signals in White Noise Using Relatively Few Samples
• Sparse PCA: optimal rates and adaptive estimation
• Sparse principal component analysis and iterative thresholding
• Testing hypotheses about the number of factors in large factor models
• The Functional Calculus
• The Tracy-Widom limit for the largest eigenvalues of singular complex Wishart matrices
• The isotropic semicircle law and deformation of Wigner matrices
• Tracy-Widom distribution for the largest eigenvalue of real sample covariance matrices with general population
• Tracy-Widom limit for the largest eigenvalue of a large class of complex sample covariance matrices
• Universality for generalized Wigner matrices with Bernoulli distribution
• Universality for the largest eigenvalue of sample covariance matrices with general population
• Universality of covariance matrices
• Weak convergence of random functions defined by the eigenvectors of sample covariance matrices

Cited in

(18)

• A note on the convergence rate of the spectral distributions of large sample covariance matrices
• Properties of eigenvalues and eigenvectors of large-dimensional sample correlation matrices
• Freeness of type B and conditional freeness for random matrices
• The eigenvector LSD of information plus noise matrices and its application to linear regression model
• Joint convergence of sample autocovariance matrices when \(p/n\to 0\) with application
• Some strong convergence theorems for eigenvalues of general sample covariance matrices
• Optimally Weighted PCA for High-Dimensional Heteroscedastic Data
• Spiked separable covariance matrices and principal components
• Statistical inference for principal components of spiked covariance matrices
• The conjugate gradient algorithm on a general class of spiked covariance matrices
• Edge universality of separable covariance matrices
• Sample canonical correlation coefficients of high-dimensional random vectors: Local law and Tracy–Widom limit
• Convergence of the empirical spectral distribution of Gaussian matrix-valued processes
• Data-driven optimal shrinkage of singular values under high-dimensional noise with separable covariance structure with application
• Large deviations for spectral measures of some spiked matrices
• Linear spectral statistics of eigenvectors of anisotropic sample covariance matrices
• Most powerful test against a sequence of high dimensional local alternatives
• Convergence rates of eigenvector empirical spectral distribution of large dimensional sample covariance matrix

This page was built for publication: Convergence of eigenvector empirical spectral distribution of sample covariance matrices

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2196201)