On determining the number of spikes in a high-dimensional spiked population model

DOI10.1142/S201032631150002XMaRDI QIDQ2893152zbMATH OpenFDO

Authors Damien Passemier, Jian-Feng Yao

Publication date 26 June 2012

Published in Random Matrices: Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1104.2677

zbMATH Keywords

extreme eigenvaluesfactor modelhigh-dimensional statisticssample covariance matricestracy-widom laws

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (probabilistic aspects) (60B20) Asymptotic properties of parametric estimators (62F12)

Abstract: In a spiked population model, the population covariance matrix has all its eigenvalues equal to units except for a few fixed eigenvalues (spikes). Determining the number of spikes is a fundamental problem which appears in many scientific fields, including signal processing (linear mixture model) or economics (factor model). Several recent papers studied the asymptotic behavior of the eigenvalues of the sample covariance matrix (sample eigenvalues) when the dimension of the observations and the sample size both grow to infinity so that their ratio converges to a positive constant. Using these results, we propose a new estimator based on the difference between two consecutive sample eigenvalues.

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Cites work

• Central limit theorems for eigenvalues in a spiked population model
• Eigenvalues of large sample covariance matrices of spiked population models
• On the distribution of the largest eigenvalue in principal components analysis

Cited in

(21)

• Canonical correlation coefficients of high-dimensional Gaussian vectors: finite rank case
• Likelihood ratio test for partial sphericity in high and ultra-high dimensions
• Variance variation criterion and consistency in estimating the number of significant signals of high-dimensional PCA
• Optimal prediction in the linearly transformed spiked model
• Generalized four moment theorem and an application to CLT for spiked eigenvalues of high-dimensional covariance matrices
• Rapid evaluation of the spectral signal detection threshold and Stieltjes transform
• A note on the CLT of the LSS for sample covariance matrix from a spiked population model
• Hypergeometric functions of matrix arguments and linear statistics of multi-spiked Hermitian matrix models
• On generalized expectation-based estimation of a population spectral distribution from high-dimensional data
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• Estimation of spiked eigenvalues in spiked models
• Order Determination for Spiked Type Models
• Improved shrinkage prediction under a spiked covariance structure
• Matrix denoising for weighted loss functions and heterogeneous signals
• Spiked sample covariance matrices with possibly multiple bulk components
• A Universal Test on Spikes in a High-Dimensional Generalized Spiked Model and Its Applications
• Estimation of the Number of Spiked Eigenvalues in a Covariance Matrix by Bulk Eigenvalue Matching Analysis
• Order determination for spiked-type models with a divergent number of spikes
• Inference on testing the number of spikes in a high-dimensional generalized spiked Fisher matrix
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