Universal rank inference via residual subsampling with application to large networks

DOI10.1214/23-AOS2282MaRDI QIDQ6136584FDO

Authors Xiao Han, Qing Yang, Yingying Fan

Publication date 31 August 2023

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1912.11583

zbMATH Keywords

eigenvaluesrobustnesseigenvectorsasymptotic expansionshigh dimensionalitylarge random matriceslow-rank modelsrank inference

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Asymptotic properties of parametric estimators (62F12) Random matrices (probabilistic aspects) (60B20) Robustness and adaptive procedures (parametric inference) (62F35)

Abstract: Determining the precise rank is an important problem in many large-scale applications with matrix data exploiting low-rank plus noise models. In this paper, we suggest a universal approach to rank inference via residual subsampling (RIRS) for testing and estimating rank in a wide family of models, including many popularly used network models such as the degree corrected mixed membership model as a special case. Our procedure constructs a test statistic via subsampling entries of the residual matrix after extracting the spiked components. The test statistic converges in distribution to the standard normal under the null hypothesis, and diverges to infinity with asymptotic probability one under the alternative hypothesis. The effectiveness of RIRS procedure is justified theoretically, utilizing the asymptotic expansions of eigenvectors and eigenvalues for large random matrices recently developed in Fan et al. (2019a) and Fan et al. (2019b). The advantages of the newly suggested procedure are demonstrated through several simulation and real data examples.

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