Optimal eigen expansions and uniform bounds

DOI10.1007/S00440-015-0671-3zbMATH Open1349.62251arXiv1501.01271OpenAlexW2963366046MaRDI QIDQ343789FDOQ343789

Authors: Moritz Jirak 

Publication date: 29 November 2016

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Abstract: Let $$ be a stationary process with associated lag operators $$. Uniform asymptotic expansions of the corresponding empirical eigenvalues and eigenfunctions are established under almost optimal conditions on the lag operators in terms of the eigenvalues (spectral gap). In addition, the underlying dependence assumptions are optimal, including both short and long memory processes. This allows us to study the relative maximum deviation of the empirical eigenvalues under very general conditions. Among other things, we show convergence to an extreme value distribution, giving rise to the construction of simultaneous confidence sets. We also discuss how the asymptotic expansions transfer to the long-run covariance operator $$ in a general framework.

Full work available at URL: https://arxiv.org/abs/1501.01271

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zbMATH Keywords

Hilbert spaceextreme value distributioneigen expansionlag operatorlong-run covariance operatorshort and long memory

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Extreme value theory; extremal stochastic processes (60G70) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12)

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Cited In (15)

• Expanders that beat the eigenvalue bound: Explicit construction and applications
• Relative perturbation bounds with applications to empirical covariance operators
• Asymptotic properties of principal component projections with repeated eigenvalues
• On consistency and sparsity for high-dimensional functional time series with application to autoregressions
• Quantitative limit theorems and bootstrap approximations for empirical spectral projectors
• Optimal stretching for lattice points and eigenvalues
• Optimal expansion of subspaces for eigenvector approximations
• Optimal eigen expansions and uniform bounds
• Nonparametric density estimation for intentionally corrupted functional data
• Perturbation bounds for eigenspaces under a relative gap condition
• Optimal function-on-scalar regression over complex domains
• Optimal Bilaplacian Eigenvalues
• Nonasymptotic upper bounds for the reconstruction error of PCA
• Simultaneous inference and uniform test for eigensystems of functional data
• Deep spectral Q-learning with application to mobile health

Uses Software

• fda (R)
• freqdom.fda

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