On asymptotics of eigenvectors of large sample covariance matrix

DOI10.1214/009117906000001079zbMATH Open1162.15012OpenAlexW3104309687MaRDI QIDQ2373573FDOQ2373573

Authors Baiqi Miao, Guangming Pan, Zhidong Bai 

Publication date 12 July 2007

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

Full work available at URL https://arxiv.org/abs/0708.1720

zbMATH Keywords

asymptoticcentral limit theoremcovariance matrixeigenvectorWishart matrixrandom Hermitian matrix

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Random matrices (algebraic aspects) (15B52) Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17)

Abstract: Let {$X_{ij}$}, $i,j=\mathrm{...},$ be a double array of i.i.d. complex random variables with $E{X}_{11}=0,E|X_{11}{|}^2=1$ and $E|X_{11}{|}^4<infty$, and let $A_n=frac1N{T}_n^{1/2}{X}_n{X}_n^{\ast }{T}_n^{1/2}$, where $T_n^{1/2}$ is the square root of a nonnegative definite matrix $T_n$ and $X_n$ is the $nimesN$ matrix of the upper-left corner of the double array. The matrix $A_n$ can be considered as a sample covariance matrix of an i.i.d. sample from a population with mean zero and covariance matrix $T_n$, or as a multivariate $F$ matrix if $T_n$ is the inverse of another sample covariance matrix. To investigate the limiting behavior of the eigenvectors of $A_n$, a new form of empirical spectral distribution is defined with weights defined by eigenvectors and it is then shown that this has the same limiting spectral distribution as the empirical spectral distribution defined by equal weights. Moreover, if {$X_{ij}$} and $T_n$ are either real or complex and some additional moment assumptions are made then linear spectral statistics defined by the eigenvectors of $A_n$ are proved to have Gaussian limits, which suggests that the eigenvector matrix of $A_n$ is nearly Haar distributed when $T_n$ is a multiple of the identity matrix, an easy consequence for a Wishart matrix.

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• Weak convergence of a collection of random functions defined by the eigenvectors of large dimensional random matrices
• A family of flexible shrinkage estimators for the variances of high-dimensional gene expressions
• Linear spectral statistics of eigenvectors of anisotropic sample covariance matrices

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