AIC and BIC rules for the number of significant principal components in multivariate extremes are developed and shown to be weakly consistent under a spiked covariance model.
On eigenvalues of sample covariance matrices based on high dimensional compositional data
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abstract
This paper studies the asymptotic spectral properties of the sample covariance matrix for high dimensional compositional data, including the limiting spectral distribution, the limit of extreme eigenvalues, and the central limit theorem for linear spectral statistics. All asymptotic results are derived under the high-dimensional regime where the data dimension increases to infinity proportionally with the sample size. The findings reveal that the limiting spectral distribution is the well-known Marchenko-Pastur law. The largest (or smallest non-zero) eigenvalue converges almost surely to the left (or right) endpoint of the limiting spectral distribution, respectively. Moreover, the linear spectral statistics demonstrate a Gaussian limit. Simulation experiments demonstrate the accuracy of theoretical results.
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Estimation of the number of principal components in high-dimensional multivariate extremes
AIC and BIC rules for the number of significant principal components in multivariate extremes are developed and shown to be weakly consistent under a spiked covariance model.