Testing for principal component directions under weak identifiability

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

Mathematics Subject Classification ID

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

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.

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