arXiv subjects

Jeha Yang

Publications and source records attributed to Jeha Yang.

3 recordsLinked to original sources

arXiv2019

Asymptotics of eigenstructure of sample correlation matrices for high-dimensional spiked models

Sample correlation matrices are employed ubiquitously in statistics. However, quite surprisingly, little is known about their asymptotic spectral properties for high-dimensional data, particularly beyond the case of "null models" for which the data is assumed independent. Here, considering the popular class of spiked models, we apply random matrix theory to derive asymptotic first-order and distributional results for both the leading eigenvalues and eigenvectors of sample correlation matrices. These results are obtained under high-dimensional settings for which the number of samples n and variables p approach infinity, with p/n tending to a constant. To first order, the spectral properties of sample correlation matrices are seen to coincide with those of sample covariance matrices; however their asymptotic distributions can differ significantly, with fluctuations of both the sample eigenvalues and eigenvectors often being remarkably smaller than those of their sample covariance counterparts.

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arXiv2018

Notes on asymptotics of sample eigenstructure for spiked covariance models with non-Gaussian data

These expository notes serve as a reference for an accompanying post Morales-Jimenez et al. [2018]. In the spiked covariance model, we develop results on asymptotic normality of sample leading eigenvalues and certain projections of the corresponding sample eigenvectors. The results parallel those of Paul [2007], but are given using the non-Gaussian model of Bai and Yao [2008]. The results are not new, and citations are given, but proofs are collected and organized as a point of departure for Morales-Jimenez et al. [2018].

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arXiv2017

Edgeworth correction for the largest eigenvalue in a spiked PCA model

We study improved approximations to the distribution of the largest eigenvalue $\hat{\ell}$ of the sample covariance matrix of $n$ zero-mean Gaussian observations in dimension $p+1$. We assume that one population principal component has variance $\ell > 1$ and the remaining `noise' components have common variance $1$. In the high dimensional limit $p/n \to γ> 0$, we begin study of Edgeworth corrections to the limiting Gaussian distribution of $\hat{\ell}$ in the supercritical case $\ell > 1 + \sqrt γ$. The skewness correction involves a quadratic polynomial as in classical settings, but the coefficients reflect the high dimensional structure. The methods involve Edgeworth expansions for sums of independent non-identically distributed variates obtained by conditioning on the sample noise eigenvalues, and limiting bulk properties \textit{and} fluctuations of these noise eigenvalues.

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