Sign Tests for Weak Principal Directions

Davy Paindaveine, Julien Remy and Thomas Verdebout

No 2019-01, Working Papers ECARES from ULB -- Universite Libre de Bruxelles

Abstract: We consider inference on the first principal direction of a p -variate elliptical distribution. We do so in challenging double asymptotic scenarios for which this direction eventually fails to be identifiable. In order to achieve robustness not only with respect to such weak identifiability but also with respect to heavy tails, we focus on sign-based statistical procedures, that is, on procedures that involve the observations only through their direction from the center of the distribution. We actually consider the generic problem of testing the null hypothesis that the first principal direction coincides with a given direction of R p. We first focus on weak identifiability setups involving single spikes (that is, involving spectra for which the smallest eigenvalue has multiplicity p-1). We show that, irrespective of the degree of weak identifiability, such setups offer local alternatives for which the corresponding sequence of statistical experiments converges in the Le Cam sense. Interestingly, the limiting experiments depend on the degree of weak identifiability. We exploit this convergence result to build optimal sign tests for the problem considered. In classical asymptotic scenarios where the spectrum is fixed, these tests are shown to be asymptotically equivalent to the sign-based likelihood ratio tests available in the literature. Unlike the latter, however, the proposed sign tests are robust to arbitrarily weak identifiability. We show that our tests meet the asymptotic level constraint irrespective of the structure of the spectrum, hence also in possibly multi-spike setups. Finally, we fully characterize the non-nullasymptotic distributions of the corresponding test statistics under weak identifiability, which allows us to quantify the corresponding local asymptotic powers. Monte Carlo exercises confirm our asymptotic results.

Keywords: Le Cam's asymptotic theory of statistical experiments; Local asymptotic normality; Principal component analysis; Sign tests; Weak identi ability. (search for similar items in EconPapers)
Pages: 29 p.
Date: 2019-01
New Economics Papers: this item is included in nep-ecm and nep-ets
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