Rare-event Analysis for Extremal Eigenvalues of white Wishart matrices

Abstract

In this paper we consider the extreme behavior of the extremal eigenvalues of white Wishart matrices, which plays an important role in multivariate analysis. In particular, we focus on the case when the dimension of the feature p is much larger than or comparable to the number of observations n, a common situation in modern data analysis. We provide asymptotic approximations and bounds for the tail probabilities of the extremal eigenvalues. Moreover, we construct efficient Monte Carlo simulation algorithms to compute the tail probabilities. Simulation results show that our method has the best performance amongst known approximation approaches, and furthermore provides an efficient and accurate way for evaluating the tail probabilities in practice.