Edgeworth correction for the largest eigenvalue in a spiked PCA model

DOI10.5705/SS.202017.0296zbMATH Open1406.62065arXiv1710.06899OpenAlexW2964026436WikidataQ64938245 ScholiaQ64938245MaRDI QIDQ4558600FDOQ4558600

Authors: Jeha Yang, Iain M. Johnstone 

Publication date: 22 November 2018

Published in: STATISTICA SINICA (Search for Journal in Brave)

Abstract: We study improved approximations to the distribution of the largest eigenvalue $hatell$ of the sample covariance matrix of $n$ zero-mean Gaussian observations in dimension $p+1$. We assume that one population principal component has variance $ell>1$ and the remaining `noise' components have common variance $1$. In the high dimensional limit $p/nogamma>0$, we begin study of Edgeworth corrections to the limiting Gaussian distribution of $hatell$ in the supercritical case $ell>1+sqrtgamma$. The skewness correction involves a quadratic polynomial as in classical settings, but the coefficients reflect the high dimensional structure. The methods involve Edgeworth expansions for sums of independent non-identically distributed variates obtained by conditioning on the sample noise eigenvalues, and limiting bulk properties extit{and} fluctuations of these noise eigenvalues.

Full work available at URL: https://arxiv.org/abs/1710.06899

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zbMATH Keywords

Edgeworth expansioncovariance matrixRoy's statisticspiked PCA model

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Approximations to statistical distributions (nonasymptotic) (62E17)

Cited In (3)

• Fluctuations for differences of linear eigenvalue statistics for sample covariance matrices
• Title not available (Why is that?)
• A CLT for the LSS of large-dimensional sample covariance matrices with diverging spikes

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