On the sample covariance matrix estimator of reduced effective rank population matrices, with applications to fPCA

DOI10.3150/14-BEJ602zbMATH Open1388.62173arXiv1212.5321MaRDI QIDQ2348740FDOQ2348740

Authors: Florentina Bunea, Luo Xiao 

Publication date: 15 June 2015

Published in: Bernoulli (Search for Journal in Brave)

Abstract: This work provides a unified analysis of the properties of the sample covariance matrix $Sigm{a}_n$ over the class of $pimesp$ population covariance matrices $Sigma$ of reduced effective rank $r_e(Sigma)$. This class includes scaled factor models and covariance matrices with decaying spectrum. We consider $r_e(Sigma)$ as a measure of matrix complexity, and obtain sharp minimax rates on the operator and Frobenius norm of $Sigm{a}_n-Sigma$, as a function of $r_e(Sigma)$ and $|Sigma{|}_2$, the operator norm of $Sigma$. With guidelines offered by the optimal rates, we define classes of matrices of reduced effective rank over which $Sigm{a}_n$ is an accurate estimator. Within the framework of these classes, we perform a detailed finite sample theoretical analysis of the merits and limitations of the empirical scree plot procedure routinely used in PCA. We show that identifying jumps in the empirical spectrum that consistently estimate jumps in the spectrum of $Sigma$ is not necessarily informative for other goals, for instance for the selection of those sample eigenvalues and eigenvectors that are consistent estimates of their population counterparts. The scree plot method can still be used for selecting consistent eigenvalues, for appropriate threshold levels. We provide a threshold construction and also give a rule for checking the consistency of the corresponding sample eigenvectors. We specialize these results and analysis to population covariance matrices with polynomially decaying spectra, and extend it to covariance operators with polynomially decaying spectra. An application to fPCA illustrates how our results can be used in functional data analysis.

Full work available at URL: https://arxiv.org/abs/1212.5321

Recommendations

• Spectrum estimation for large dimensional covariance matrices using random matrix theory
• Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions
• Efficient estimation of linear functionals of principal components
• ON ESTIMATION OF THE POPULATION SPECTRAL DISTRIBUTION FROM A HIGH‐DIMENSIONAL SAMPLE COVARIANCE MATRIX
• Finite sample approximation results for principal component analysis: A matrix perturbation approach

zbMATH Keywords

minimax ratessample covariance matrixFrobenius normdecaying spectrum

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12)

Cites Work

• Matrix Analysis
• Determining the Number of Factors in Approximate Factor Models
• Functional Data Analysis for Sparse Longitudinal Data
• Factor models and variable selection in high-dimensional regression analysis
• Title not available (Why is that?)
• Covariance regularization by thresholding
• On the distribution of the largest eigenvalue in principal components analysis
• Regularized estimation of large covariance matrices
• Eigenvalues of large sample covariance matrices of spiked population models
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• On Properties of Functional Principal Components Analysis
• 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
• Optimal selection of reduced rank estimators of high-dimensional matrices
• Properties of principal component methods for functional and longitudinal data analysis
• High-dimensional covariance matrix estimation with missing observations
• Inference for Density Families Using Functional Principal Component Analysis
• Adaptive thresholding for sparse covariance matrix estimation
• User-friendly tail bounds for sums of random matrices
• Optimal rates of convergence for covariance matrix estimation
• On the sample covariance matrix estimator of reduced effective rank population matrices, with applications to fPCA
• Asymptotic Theory for Principal Component Analysis
• Common functional principal components

Cited In (27)

• Bootstrapping the operator norm in high dimensions: error estimation for covariance matrices and sketching
• Improved second order estimation in the singular multivariate normal model
• Bootstrapping max statistics in high dimensions: near-parametric rates under weak variance decay and application to functional and multinomial data
• Fast covariance estimation for high-dimensional functional data
• Inference in latent factor regression with clusterable features
• Non-asymptotic properties of spectral decomposition of large Gram-type matrices and applications
• Posterior contraction in sparse Bayesian factor models for massive covariance matrices
• On cumulative slicing estimation for high dimensional data
• Optimal estimation and rank detection for sparse spiked covariance matrices
• Non-asymptotic rate for high-dimensional covariance estimation with non-independent missing observations
• Rates of Bootstrap Approximation for Eigenvalues in High-Dimensional PCA
• A joint design for functional data with application to scheduling ultrasound scans
• On the sample covariance matrix estimator of reduced effective rank population matrices, with applications to fPCA
• Blind Identification of Stochastic Block Models from Dynamical Observations
• New asymptotic results in principal component analysis
• Estimation of low-rank covariance function
• Sparse and integrative principal component analysis for multiview data
• Dimension-free bounds for sums of dependent matrices and operators with heavy-tailed distributions
• ECA: High-Dimensional Elliptical Component Analysis in Non-Gaussian Distributions
• Compressed covariance estimation with automated dimension learning
• Bagging-enhanced sampling schedule for functional quadratic regression
• Adaptive estimation of the copula correlation matrix for semiparametric elliptical copulas
• Detecting approximate replicate components of a high-dimensional random vector with latent structure
• Concentration inequalities for statistical inference
• Title not available (Why is that?)
• Representation and reconstruction of covariance operators in linear inverse problems
• Moment bounds for large autocovariance matrices under dependence

This page was built for publication: On the sample covariance matrix estimator of reduced effective rank population matrices, with applications to fPCA

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2348740)