Asymptotic properties of the first principal component and equality tests of covariance matrices in high-dimension, low-sample-size context

DOI10.1016/J.JSPI.2015.10.007MaRDI QIDQ899373zbMATH OpenOpenAlexFDO

Authors Aki Ishii, Kazuyoshi Yata, Makoto Aoshima

Publication date 28 December 2015

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1503.07302, https://tsukuba.repo.nii.ac.jp/?action=repository_uri&item_id=37059

zbMATH Keywords

PCAHDLSSnoise-reduction methodologycontribution ratioequality test of covariance matrices

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25)

Abstract: A common feature of high-dimensional data is that the data dimension is high, however, the sample size is relatively low. We call such data HDLSS data. In this paper, we study asymptotic properties of the first principal component in the HDLSS context and apply them to equality tests of covariance matrices for high dimensional data sets. We consider HDLSS asymptotic theories as the dimension grows for both the cases when the sample size is fixed and the sample size goes to infinity. We introduce an eigenvalue estimator by the noise-reduction methodology and provide asymptotic distributions of the largest eigenvalue in the HDLSS context. We construct a confidence interval of the first contribution ratio. We give asymptotic properties both for the first PC direction and PC score as well. We apply the findings to equality tests of two covariance matrices in the HDLSS context. We provide numerical results and discussions about the performances both on the estimates of the first PC and the equality tests of two covariance matrices.

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Cited in

(15)

• scientific article; zbMATH DE number 7387552 (Why is no real title available?)
• A test of sphericity for high-dimensional data and its application for detection of divergently spiked noise
• Statistical inference for high-dimension, low-sample-size data
• A High-Dimensional Two-Sample Test for Non-Gaussian Data under a Strongly Spiked Eigenvalue Model
• Reconstruction of a high-dimensional low-rank matrix
• A survey of high dimension low sample size asymptotics
• Statistical inference under the strongly spiked eigenvalue model
• Shrinkage priors for single-spiked covariance models
• Projected tests for high-dimensional covariance matrices
• Comparison of Correction Factors and Sample Size Required to Test the Equality of the Smallest Eigenvalues in Principal Component Analysis
• Equality tests of high-dimensional covariance matrices under the strongly spiked eigenvalue model
• Inference on high-dimensional mean vectors under the strongly spiked eigenvalue model
• Hypothesis tests for high-dimensional covariance structures
• Test for high-dimensional outliers with principal component analysis
• A classifier under the strongly spiked eigenvalue model in high-dimension, low-sample-size context

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