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

factor modelhigh-dimensional statisticsextreme eigenvaluestracy-widom lawssample covariance matrices

Mathematics Subject Classification ID

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

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.

Recommendations

• Estimation of spiked eigenvalues in spiked models
• Eigenvalues of large sample covariance matrices of spiked population models
• Asymptotics of empirical eigenstructure for high dimensional spiked covariance
• Estimation of the number of spikes, possibly equal, in the high-dimensional case
• On sample eigenvalues in a generalized spiked population model

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

(19)

• Matrix denoising for weighted loss functions and heterogeneous signals
• scientific article; zbMATH DE number 7415123 (Why is no real title available?)
• On sample eigenvalues in a generalized spiked population model
• Hypergeometric functions of matrix arguments and linear statistics of multi-spiked Hermitian matrix models
• Estimation of the Number of Spiked Eigenvalues in a Covariance Matrix by Bulk Eigenvalue Matching Analysis
• A note on the CLT of the LSS for sample covariance matrix from a spiked population model
• Spiked sample covariance matrices with possibly multiple bulk components
• Estimation of the number of spikes, possibly equal, in the high-dimensional case
• Likelihood ratio test for partial sphericity in high and ultra-high dimensions
• Optimal prediction in the linearly transformed spiked model
• Order Determination for Spiked Type Models
• Rapid evaluation of the spectral signal detection threshold and Stieltjes transform
• Generalized four moment theorem and an application to CLT for spiked eigenvalues of high-dimensional covariance matrices
• Variance variation criterion and consistency in estimating the number of significant signals of high-dimensional PCA
• Estimation of spiked eigenvalues in spiked models
• Canonical correlation coefficients of high-dimensional Gaussian vectors: finite rank case
• On generalized expectation-based estimation of a population spectral distribution from high-dimensional data
• Order determination for spiked-type models with a divergent number of spikes
• A Universal Test on Spikes in a High-Dimensional Generalized Spiked Model and Its Applications

This page was built for publication: On determining the number of spikes in a high-dimensional spiked population model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2893152)