Testing for principal component directions under weak identifiability

Le Cam's asymptotic theory of statistical experiments local asymptotic normality principal component analysis spiked covariance matrices weak identifiability

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05) Factor analysis and principal components; correspondence analysis (62H25)

Abstract: We consider the problem of testing, on the basis of a

p

-variate Gaussian random sample, the null hypothesis

{c a l H}_{0} : {p m b h e t a}_{1} = {p m b h e t a}_{1}^{0}

against the alternative

{c a l H}_{1} : {p m b h e t a}_{1} e q {p m b h e t a}_{1}^{0}

, where

{p m b h e t a}_{1}

is the "first" eigenvector of the underlying covariance matrix and

{p m b h e t a}_{1}^{0}

is a fixed unit

p

-vector. In the classical setup where eigenvalues

l a m b d a_{1} > l a m b d a_{2} g e q l d o t s g e q l a m b d a_{p}

are fixed, the Anderson (1963) likelihood ratio test (LRT) and the Hallin, Paindaveine and Verdebout (2010) Le Cam optimal test for this problem are asymptotically equivalent under the null hypothesis, hence also under sequences of contiguous alternatives. We show that this equivalence does not survive asymptotic scenarios where

l a m b d a_{n 1} / l a m b d a_{n 2} = 1 + O (r_{n})

with

r_{n} = O (1 / s q r t n)

. For such scenarios, the Le Cam optimal test still asymptotically meets the nominal level constraint, whereas the LRT severely overrejects the null hypothesis. Consequently, the former test should be favored over the latter one whenever the two largest sample eigenvalues are close to each other. By relying on the Le Cam's asymptotic theory of statistical experiments, we study the non-null and optimality properties of the Le Cam optimal test in the aforementioned asymptotic scenarios and show that the null robustness of this test is not obtained at the expense of power. Our asymptotic investigation is extensive in the sense that it allows

r_{n}

to converge to zero at an arbitrary rate. While we restrict to single-spiked spectra of the form

l a m b d a_{n 1} > l a m b d a_{n 2} = l d o t s = l a m b d a_{n p}

to make our results as striking as possible, we extend our results to the more general elliptical case. Finally, we present an illustrative real data example.

Review text

Given data from a multivariate normal distribution whose covariance matrix has eigenvalues \(\lambda_1\geq\lambda_2\geq\cdots\geq\lambda_p\), consider testing the null hypothesis \(\mbox{H}_0:\boldsymbol{\theta}_1=\boldsymbol{\theta}_1^0\) against the alternative hypothesis \(\mbox{H}_1:\boldsymbol{\theta}_1\not=\boldsymbol{\theta}_1^0\), where \(\boldsymbol{\theta}_1\) is the eigenvector associated with \(\lambda_1\) and \(\boldsymbol{\theta}_1^0\) is a fixed vector. The authors compare two tests in this setting: a classical likelihood ratio test and the Le Cam optimal test due to \textit {M. Hallin} et al. [Ann. Stat. 38, No. 6, 3245--3299 (2010; Zbl 1373.62295)]. When the eigenvalues \(\lambda_i\) are fixed, these two tests are known to be asymptotically equivalent under the null hypothesis and sequences of contiguous alternatives. In this paper, the authors show that this asymptotic equivalence breaks down in the setting where the eigenvalues may depend on the sample size \(n\) and \(\lambda_1/\lambda_2=1+O(r_n)\), with \(r_n=O(1/\sqrt{n})\). In this setting, the likelihood ratio test is shown to over-reject the null hypothesis, so that the Le Cam optimal test is preferable here. Further properties of this latter test are investigated to show that this gain over the likelihood ratio test does not come at the expense of power. The more general setting of elliptical data is also considered, and numerical examples (based on both simulations and real data) are presented to illustrate the findings of the paper.

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