Estimation of smooth functionals of covariance operators: jackknife bias reduction and bounds in terms of effective rank

arXiv2205.10280MaRDI QIDQ6399723FDOQ6399723

Publication date: 20 May 2022

Abstract: Let

E

be a separable Banach space and let

X, X_{1}, d o t s, X_{n}, d o t s

be i.i.d. Gaussian random variables taking values in

E

with mean zero and unknown covariance operator

S i g m a : E^{a s t} m a p s t o E .

The complexity of estimation of

S i g m a

based on observations

X_{1}, d o t s, X_{n}

is naturally characterized by the so called effective rank of

S i g m a :

where

| S i g m a |

is the operator norm of

S i g m a .

Given a smooth real valued functional

f

defined on the space

L (E^{a s t}, E)

of symmetric linear operators from

E^{a s t}

into

E

(equipped with the operator norm), our goal is to study the problem of estimation of

f (S i g m a)

based on

X_{1}, d o t s, X_{n} .

The estimators of

f (S i g m a)

based on jackknife type bias reduction are considered and the dependence of their Orlicz norm error rates on effective rank

the sample size

n

and the degree of H"older smoothness

s

of functional

f

are studied. In particular, it is shown that, if

for some

a l p h a i n (0, 1)

and

s g e q f r a c 1 1 - a l p h a,

then the classical

s q r t n

-rate is attainable and, if

s > f r a c 1 1 - a l p h a,

then asymptotic normality and asymptotic efficiency of the resulting estimators hold. Previously, the results of this type (for different estimators) were obtained only in the case of finite dimensional Euclidean space

E = {m a t h b b R}^{d}

and for covariance operators

S i g m a

whose spectrum is bounded away from zero (in which case,

).

Mathematics Subject Classification ID

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

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