On the Eigenstructure of Covariance Matrices with Divergent Spikes

DOI10.3150/22-BEJ1498MaRDI QIDQ6385673arXivFDO

Authors Simona Diaconu

Publication date 14 December 2021

Mathematics Subject Classification ID

Multivariate analysis (62Hxx) Limit theorems in probability theory (60Fxx) Special matrices (15Bxx)

Abstract: For a generalization of Johnstone's spiked model, a covariance matrix with eigenvalues all one but $M$ of them, the number of features $N$ comparable to the number of samples $n:N=N(n),M=M(n),gamm{a}^{-1}leqfracNnleqgamma$ where $gammain(0,infty),$ we obtain consistency rates in the form of CLTs for separated spikes tending to infinity fast enough whenever $M$ grows slightly slower than $n:li{m}_{noinfty}fracsqrtlognlogfracnM(n)=0.$ Our results fill a gap in the existing literature in which the largest range covered for the number of spikes has been $o(n^{1/6})$ and reveal a certain degree of flexibility for the centering in these CLTs inasmuch as it can be empirical, deterministic, or a sum of both. Furthermore, we derive consistency rates of their corresponding empirical eigenvectors to their true counterparts, which turn out to depend on the relative growth of these eigenvalues.

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