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arXiv · 2310.13939

Asymptotic limits of spiked eigenvalues and eigenvectors of signal-plus-noise matrices with weak signals and heteroskedastic noise

Xiaoyu Liu·Yiming Liu·Guangming Pan·Lingyue Zhang·Zhixiang Zhang
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Abstract

This paper is to study a signal-plus-noise model in high dimensional settings when the dimension and the sample size are comparable. Specifically, we assume that the noise has a general covariance matrix that allows for heteroskedasticity, and that the deterministic signal has the same magnitude as the noise and can have a rank that tends to infinity. We develop the asymptotic limits of the left and right spiked singular vectors of the signal-plusnoise data matrix and the limits of the spiked eigenvalues of the corresponding Gram matrix. As an application, we propose a new criterion to estimate the number of clusters in clustering problems.

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Xiaoyu Liu, Yiming Liu, Guangming Pan, Lingyue Zhang, Zhixiang Zhang. 2023-10-21. Asymptotic limits of spiked eigenvalues and eigenvectors of signal-plus-noise matrices with weak signals and heteroskedastic noise. https://arxiv.org/abs/2310.13939

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