Bootstrapping spectral statistics in high dimensions

Miles E Lopes, Andrew Blandino and Alexander Aue

Biometrika, 2019, vol. 106, issue 4, 781-801

Abstract: SummaryStatistics derived from the eigenvalues of sample covariance matrices are called spectral statistics, and they play a central role in multivariate testing. Although bootstrap methods are an established approach to approximating the laws of spectral statistics in low-dimensional problems, such methods are relatively unexplored in the high-dimensional setting. The aim of this article is to focus on linear spectral statistics as a class of prototypes for developing a new bootstrap in high dimensions, a method we refer to as the spectral bootstrap. In essence, the proposed method originates from the parametric bootstrap and is motivated by the fact that in high dimensions it is difficult to obtain a nonparametric approximation to the full data-generating distribution. From a practical standpoint, the method is easy to use and allows the user to circumvent the difficulties of complex asymptotic formulas for linear spectral statistics. In addition to proving the consistency of the proposed method, we present encouraging empirical results in a variety of settings. Lastly, and perhaps most interestingly, we show through simulations that the method can be applied successfully to statistics outside the class of linear spectral statistics, such as the largest sample eigenvalue and others.

Keywords: Bootstrap method; Central limit theorem; Linear spectral statistic; Marčenko –Pastur law; Nonlinear spectral statistic; Spectrum estimation (search for similar items in EconPapers)
Date: 2019
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