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arxiv: 1509.07269 · v2 · pith:EJ3QWPDTnew · submitted 2015-09-24 · 🧮 math.ST · stat.TH

Testing in high-dimensional spiked models

classification 🧮 math.ST stat.TH
keywords spikecovarianceeigenvaluesjamesmultivariateproblemsprocessestesting
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We consider the five classes of multivariate statistical problems identified by James (1964), which together cover much of classical multivariate analysis, plus a simpler limiting case, symmetric matrix denoising. Each of James' problems involves the eigenvalues of $E^{-1}H$ where $H$ and $E$ are proportional to high dimensional Wishart matrices. Under the null hypothesis, both Wisharts are central with identity covariance. Under the alternative, the non-centrality or the covariance parameter of $H$ has a single eigenvalue, a spike, that stands alone. When the spike is smaller than a case-specific phase transition threshold, none of the sample eigenvalues separate from the bulk, making the testing problem challenging. Using a unified strategy for the six cases, we show that the log likelihood ratio processes parameterized by the value of the sub-critical spike converge to Gaussian processes with logarithmic correlation. We then derive asymptotic power envelopes for tests for the presence of a spike.

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