Annals of Statistics

Asymptotics of empirical eigenstructure for high dimensional spiked covariance

Weichen Wang and Jianqing Fan

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We derive the asymptotic distributions of the spiked eigenvalues and eigenvectors under a generalized and unified asymptotic regime, which takes into account the magnitude of spiked eigenvalues, sample size and dimensionality. This regime allows high dimensionality and diverging eigenvalues and provides new insights into the roles that the leading eigenvalues, sample size and dimensionality play in principal component analysis. Our results are a natural extension of those in [Statist. Sinica 17 (2007) 1617–1642] to a more general setting and solve the rates of convergence problems in [Statist. Sinica 26 (2016) 1747–1770]. They also reveal the biases of estimating leading eigenvalues and eigenvectors by using principal component analysis, and lead to a new covariance estimator for the approximate factor model, called Shrinkage Principal Orthogonal complEment Thresholding (S-POET), that corrects the biases. Our results are successfully applied to outstanding problems in estimation of risks for large portfolios and false discovery proportions for dependent test statistics and are illustrated by simulation studies.

Article information

Ann. Statist., Volume 45, Number 3 (2017), 1342-1374.

Received: September 2015
Revised: June 2016
First available in Project Euclid: 13 June 2017

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Zentralblatt MATH identifier

Primary: 62H25: Factor analysis and principal components; correspondence analysis
Secondary: 62H10: Distribution of statistics

Asymptotic distributions principal component analysis diverging eigenvalues approximate factor model relative risk management false discovery proportion


Wang, Weichen; Fan, Jianqing. Asymptotics of empirical eigenstructure for high dimensional spiked covariance. Ann. Statist. 45 (2017), no. 3, 1342--1374. doi:10.1214/16-AOS1487.

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