Bootstrapping spectral statistics in high dimensions

DOI10.1093/BIOMET/ASZ040zbMATH Open1435.62347arXiv1709.08251OpenAlexW2972433340WikidataQ127540854 ScholiaQ127540854MaRDI QIDQ5212906FDOQ5212906

Authors: Miles E. Lopes, Andrew Blandino, Alexander Aue 

Publication date: 30 January 2020

Published in: Biometrika (Search for Journal in Brave)

Abstract: Statistics derived from the eigenvalues of sample covariance matrices are called spectral statistics, and they play a central role in multivariate testing. Although bootstrap methods are an established approach to approximating the laws of spectral statistics in low-dimensional problems, these methods are relatively unexplored in the high-dimensional setting. The aim of this paper is to focus on linear spectral statistics as a class of prototypes for developing a new bootstrap in high-dimensions --- and we refer to this method as the Spectral Bootstrap. In essence, the method originates from the parametric bootstrap, and is motivated by the notion that, in high dimensions, it is difficult to obtain a non-parametric approximation to the full data-generating distribution. From a practical standpoint, the method is easy to use, and allows the user to circumvent the difficulties of complex asymptotic formulas for linear spectral statistics. In addition to proving the consistency of the proposed method, we provide encouraging empirical results in a variety of settings. Lastly, and perhaps most interestingly, we show through simulations that the method can be applied successfully to statistics outside the class of linear spectral statistics, such as the largest sample eigenvalue and others.

Full work available at URL: https://arxiv.org/abs/1709.08251

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zbMATH Keywords

central limit theorembootstrap methodspectrum estimationlinear spectral statisticMarčenko-Pastur lawnonlinear spectral statistic

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Inference from stochastic processes and spectral analysis (62M15)

Cited In (14)

• Bootstrapping the operator norm in high dimensions: error estimation for covariance matrices and sketching
• Efficient computation of limit spectra of sample covariance matrices
• A bootstrap method for spectral statistics in high-dimensional elliptical models
• Quantitative limit theorems and bootstrap approximations for empirical spectral projectors
• Tie-respecting bootstrap methods for estimating distributions of sets and functions of eigenvalues
• Rates of Bootstrap Approximation for Eigenvalues in High-Dimensional PCA
• Statistical inference on kurtosis of independent component model
• Bootstrap confidence sets for spectral projectors of sample covariance
• On Gaussian comparison inequality and its application to spectral analysis of large random matrices
• Bootstrapping the latent roots of certain random matrices
• An adaptively resized parametric bootstrap for inference in high-dimensional generalized linear models
• Bootstrap -- an exploration
• Confidence sets for spectral projectors of covariance matrices
• Augmenting the bootstrap to analyze high dimensional genomic data

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