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

DOI10.1142/S201032631150002XzbMATH Open1244.62028arXiv1104.2677MaRDI QIDQ2893152FDOQ2893152

Authors: Damien Passemier, Jian-Feng Yao 

Publication date: 26 June 2012

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

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.

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

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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)

Cites Work

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

Cited In (19)

• A note on the CLT of the LSS for sample covariance matrix from a spiked population model
• Order Determination for Spiked Type Models
• Generalized four moment theorem and an application to CLT for spiked eigenvalues of high-dimensional covariance matrices
• Likelihood ratio test for partial sphericity in high and ultra-high dimensions
• Rapid evaluation of the spectral signal detection threshold and Stieltjes transform
• Spiked sample covariance matrices with possibly multiple bulk components
• Hypergeometric functions of matrix arguments and linear statistics of multi-spiked Hermitian matrix models
• Order determination for spiked-type models with a divergent number of spikes
• Estimation of the number of spikes, possibly equal, in the high-dimensional case
• Canonical correlation coefficients of high-dimensional Gaussian vectors: finite rank case
• Variance variation criterion and consistency in estimating the number of significant signals of high-dimensional PCA
• A Universal Test on Spikes in a High-Dimensional Generalized Spiked Model and Its Applications
• Title not available (Why is that?)
• Estimation of spiked eigenvalues in spiked models
• Estimation of the Number of Spiked Eigenvalues in a Covariance Matrix by Bulk Eigenvalue Matching Analysis
• On generalized expectation-based estimation of a population spectral distribution from high-dimensional data
• Matrix Denoising for Weighted Loss Functions and Heterogeneous Signals
• Optimal prediction in the linearly transformed spiked model
• On sample eigenvalues in a generalized spiked population model

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