New asymptotic results in principal component analysis

Let $X$ be a mean zero Gaussian random vector in a separable Hilbert space ${\mathbb H}$ with covariance operator $Σ:={\mathbb E}(X\otimes X).$ Let $Σ=\sum_{r\geq 1}μ_r P_r$ be the spectral decomposition of $Σ$ with distinct eigenvalues $μ_1>μ_2> \dots$ and the corresponding spectral projectors $P_1, P_2, \dots.$ Given a sample $X_1,\dots, X_n$ of size $n$ of i.i.d. copies of $X,$ the sample covariance operator is defined as $\hat Σ_n := n^{-1}\sum_{j=1}^n X_j\otimes X_j.$ The main goal of principal component analysis is to estimate spectral projectors $P_1, P_2, \dots$ by their empirical counterparts $\hat P_1, \hat P_2, \dots$ properly defined in terms of spectral decomposition of the sample covariance operator $\hat Σ_n.$ The aim of this paper is to study asymptotic distributions of important statistics related to this problem, in particular, of statistic $\|\hat P_r-P_r\|_2^2,$ where $\|\cdot\|_2^2$ is the squared Hilbert--Schmidt norm. This is done in a "high-complexity" asymptotic framework in which the so called effective rank ${\bf r}(Σ):=\frac{{\rm tr}(Σ)}{\|Σ\|_{\infty}}$ (${\rm tr}(\cdot)$ being the trace and $\|\cdot\|_{\infty}$ being the operator norm) of the true covariance $Σ$ is becoming large simultaneously with the sample size $n,$ but ${\bf r}(Σ)=o(n)$ as $n\to\infty.$ In this setting, we prove that, in the case of one-dimensional spectral projector $P_r,$ the properly centered and normalized statistic $\|\hat P_r-P_r\|_2^2$ with {\it data-dependent} centering and normalization converges in distribution to a Cauchy type limit. The proofs of this and other related results rely on perturbation analysis and Gaussian concentration.

No reviews yet.

No comments yet.