Statistical eigen-inference from large Wishart matrices

Rao, N. Raj ; Mingo, James A. ; Speicher, Roland ; Edelman, Alan

Ann. Statist., Tome 36 (2008) no. 1, p. 2850-2885 / Harvested from Project Euclid

Résumé

We consider settings where the observations are drawn from a zero-mean multivariate (real or complex) normal distribution with the population covariance matrix having eigenvalues of arbitrary multiplicity. We assume that the eigenvectors of the population covariance matrix are unknown and focus on inferential procedures that are based on the sample eigenvalues alone (i.e., “eigen-inference”). ¶ Results found in the literature establish the asymptotic normality of the fluctuation in the trace of powers of the sample covariance matrix. We develop concrete algorithms for analytically computing the limiting quantities and the covariance of the fluctuations. We exploit the asymptotic normality of the trace of powers of the sample covariance matrix to develop eigenvalue-based procedures for testing and estimation. Specifically, we formulate a simple test of hypotheses for the population eigenvalues and a technique for estimating the population eigenvalues in settings where the cumulative distribution function of the (nonrandom) population eigenvalues has a staircase structure. ¶ Monte Carlo simulations are used to demonstrate the superiority of the proposed methodologies over classical techniques and the robustness of the proposed techniques in high-dimensional, (relatively) small sample size settings. The improved performance results from the fact that the proposed inference procedures are “global” (in a sense that we describe) and exploit “global” information thereby overcoming the inherent biases that cripple classical inference procedures which are “local” and rely on “local” information.

Détail

Publié le : 2008-12-15
Classification:  Sample covariance matrices,  random matrix theory,  Wishart matrices,  second order freeness,  free probability,  eigen-inference,  linear statistics,  62510,  62E20,  15A52