Asymptotics and concentration bounds for bilinear forms of spectral projectors of sample covariance

DOI10.1214/15-AIHP705MaRDI QIDQ503099zbMATH OpenOpenAlexFDO

Authors K. Lounici, Vladimir Koltchinskii

Publication date 11 January 2017

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1408.4643

zbMATH Keywords

principal component analysisasymptotic distributionperturbation theoryconcentration inequalitiessample covariancespectral projectorseffective rank

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Random matrices (probabilistic aspects) (60B20)

Abstract: Let $X,X_1,dots,X_n$ be i.i.d. Gaussian random variables with zero mean and covariance operator $Sigma=mathbbE(XotimesX)$ taking values in a separable Hilbert space $mathbbH.$ Let ${\displaystyle }$ {�f r}(Sigma):=frac{{ m tr}(Sigma)}{|Sigma|_{infty}} ${\displaystyle }$ be the effective rank of $Sigma,$ $mtr(Sigma)$ being the trace of $Sigma$ and $|Sigma{|}_{infty}$ being its operator norm. Let ${\displaystyle }$hat Sigma_n:=n^{-1}sum_{j=1}^n (X_jotimes X_j)${\displaystyle }$ be the sample (empirical) covariance operator based on $(X_1,dots,X_n).$ The paper deals with a problem of estimation of spectral projectors of the covariance operator $Sigma$ by their empirical counterparts, the spectral projectors of $hatSigm{a}_n$ (empirical spectral projectors). The focus is on the problems where both the sample size $n$ and the effective rank $$ are large. This framework includes and generalizes well known high-dimensional spiked covariance models. Given a spectral projector $P_r$ corresponding to an eigenvalue $m{u}_r$ of covariance operator $Sigma$ and its empirical counterpart $hat{P}_r,$ we derive sharp concentration bounds for bilinear forms of empirical spectral projector $hat{P}_r$ in terms of sample size $n$ and effective dimension $$ Building upon these concentration bounds, we prove the asymptotic normality of bilinear forms of random operators $hat{P}_r-mathbbEhat{P}_r$ under the assumptions that $noinfty$ and $$ In a special case of eigenvalues of multiplicity one, these results are rephrased as concentration bounds and asymptotic normality for linear forms of empirical eigenvectors. Other results include bounds on the bias $mathbbEhat{P}_r-P_r$ and a method of bias reduction as well as a discussion of possible applications to statistical inference in high-dimensional principal component analysis.

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