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Boundary behavior in High Dimension, Low Sample Size asymptotics of PCA

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  • Jung, Sungkyu
  • Sen, Arusharka
  • Marron, J.S.

Abstract

In High Dimension, Low Sample Size (HDLSS) data situations, where the dimension d is much larger than the sample size n, principal component analysis (PCA) plays an important role in statistical analysis. Under which conditions does the sample PCA well reflect the population covariance structure? We answer this question in a relevant asymptotic context where d grows and n is fixed, under a generalized spiked covariance model. Specifically, we assume the largest population eigenvalues to be of the order dα, where α<, =, or >1. Earlier results show the conditions for consistency and strong inconsistency of eigenvectors of the sample covariance matrix. In the boundary case, α=1, where the sample PC directions are neither consistent nor strongly inconsistent, we show that eigenvalues and eigenvectors do not degenerate but have limiting distributions. The result smoothly bridges the phase transition represented by the other two cases, and thus gives a spectrum of limits for the sample PCA in the HDLSS asymptotics. While the results hold under a general situation, the limiting distributions under Gaussian assumption are illustrated in greater detail. In addition, the geometric representation of HDLSS data is extended to give three different representations, that depend on the magnitude of variances in the first few principal components.

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  • Jung, Sungkyu & Sen, Arusharka & Marron, J.S., 2012. "Boundary behavior in High Dimension, Low Sample Size asymptotics of PCA," Journal of Multivariate Analysis, Elsevier, vol. 109(C), pages 190-203.
    • Handle: RePEc:eee:jmvana:v:109:y:2012:i:c:p:190-203
    DOI: 10.1016/j.jmva.2012.03.005
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    References listed on IDEAS

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    1. Peter Hall & J. S. Marron & Amnon Neeman, 2005. "Geometric representation of high dimension, low sample size data," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 67(3), pages 427-444, June.
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    5. Yata, Kazuyoshi & Aoshima, Makoto, 2010. "Effective PCA for high-dimension, low-sample-size data with singular value decomposition of cross data matrix," Journal of Multivariate Analysis, Elsevier, vol. 101(9), pages 2060-2077, October.
    6. Qiao, Xingye & Zhang, Hao Helen & Liu, Yufeng & Todd, Michael J. & Marron, J. S., 2010. "Weighted Distance Weighted Discrimination and Its Asymptotic Properties," Journal of the American Statistical Association, American Statistical Association, vol. 105(489), pages 401-414.
    7. Jeongyoun Ahn & J. S. Marron & Keith M. Muller & Yueh-Yun Chi, 2007. "The high-dimension, low-sample-size geometric representation holds under mild conditions," Biometrika, Biometrika Trust, vol. 94(3), pages 760-766.
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    Cited by:

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    3. Jianqing Fan & Yuan Liao & Martina Mincheva, 2013. "Large covariance estimation by thresholding principal orthogonal complements," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 75(4), pages 603-680, September.
    4. Yata, Kazuyoshi & Aoshima, Makoto, 2013. "PCA consistency for the power spiked model in high-dimensional settings," Journal of Multivariate Analysis, Elsevier, vol. 122(C), pages 334-354.
    5. Shen, Dan & Shen, Haipeng & Marron, J.S., 2013. "Consistency of sparse PCA in High Dimension, Low Sample Size contexts," Journal of Multivariate Analysis, Elsevier, vol. 115(C), pages 317-333.
    6. Niladri Roy Chowdhury & Dianne Cook & Heike Hofmann & Mahbubul Majumder & Eun-Kyung Lee & Amy Toth, 2015. "Using visual statistical inference to better understand random class separations in high dimension, low sample size data," Computational Statistics, Springer, vol. 30(2), pages 293-316, June.
    7. Jung, Sungkyu, 2018. "Continuum directions for supervised dimension reduction," Computational Statistics & Data Analysis, Elsevier, vol. 125(C), pages 27-43.

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