Statistical inference for principal components of spiked covariance matrices

TL;DR

This paper analyzes the asymptotic behavior of eigenvalues and eigenvectors of high-dimensional spiked covariance matrices, deriving joint distributions and proposing improved hypothesis testing methods that outperform existing approaches.

Contribution

It provides a general framework for the joint distribution of eigenvalues and eigenvectors in spiked models, allowing for multiple, weak, and unstructured spikes, and introduces new adaptive hypothesis tests.

Findings

Joint distribution of eigenvalues and eigenvectors derived

Proposed hypothesis tests outperform existing methods

Methods effective for small spikes and large dimensions

Abstract

In this paper, we study the asymptotic behavior of the extreme eigenvalues and eigenvectors of the high dimensional spiked sample covariance matrices, in the supercritical case when a reliable detection of spikes is possible. Especially, we derive the joint distribution of the extreme eigenvalues and the generalized components of the associated eigenvectors, i.e., the projections of the eigenvectors onto arbitrary given direction, assuming that the dimension and sample size are comparably large. In general, the joint distribution is given in terms of linear combinations of finitely many Gaussian and Chi-square variables, with parameters depending on the projection direction and the spikes. Our assumption on the spikes is fully general. First, the strengths of spikes are only required to be slightly above the critical threshold and no upper bound on the strengths is needed. Second, multiple spikes, i.e., spikes with the same strength, are allowed. Third, no structural assumption is imposed on the spikes. Thanks to the general setting, we can then apply the results to various high dimensional statistical hypothesis testing problems involving both the eigenvalues and eigenvectors. Specifically, we propose accurate and powerful statistics to conduct hypothesis testing on the principal components. These statistics are data-dependent and adaptive to the underlying true spikes. Numerical simulations also confirm the accuracy and powerfulness of our proposed statistics and illustrate significantly better performance compared to the existing methods in the literature. Especially, our methods are accurate and powerful even when either the spikes are small or the dimension is large.