Eigenvectors of some large sample covariance matrix ensembles

DOI10.1007/S00440-010-0298-3zbMATHOpenAlexMaRDI QIDQ644783FDO

Authors Olivier Ledoit, S. Péché

Publication date 7 November 2011

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0911.3010

zbMATH Keywords

Stieltjes transformprincipal component analysisasymptotic distributionrandom matrix theorybias correctionshrinkage estimatorsample covariance matrixeigenvectors and eigenvalues

Mathematics Subject Classification ID

Analysis of variance and covariance (ANOVA) (62J10) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20)

Abstract: We consider sample covariance matrices $S_N=frac1pSigm{a}_N^{1/2}{X}_N{X}_N^{\ast }Sigm{a}_N^{1/2}$ where $X_N$ is a $Nimesp$ real or complex matrix with i.i.d. entries with finite $12^{mth}$ moment and $Sigm{a}_N$ is a $NimesN$ positive definite matrix. In addition we assume that the spectral measure of $Sigm{a}_N$ almost surely converges to some limiting probability distribution as $Noinfty$ and $p/Nogamma>0.$ We quantify the relationship between sample and population eigenvectors by studying the asymptotics of functionals of the type $frac1NextTr(g(Sigm{a}_N)(S_N-zI{)}^{-1})),$ where $I$ is the identity matrix, $g$ is a bounded function and $z$ is a complex number. This is then used to compute the asymptotically optimal bias correction for sample eigenvalues, paving the way for a new generation of improved estimators of the covariance matrix and its inverse.

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