Estimation of the Number of Spiked Eigenvalues in a Covariance Matrix by Bulk Eigenvalue Matching Analysis

Zheng Tracy Ke, Yucong Ma and Xihong Lin

Journal of the American Statistical Association, 2023, vol. 118, issue 541, 374-392

Abstract: The spiked covariance model has gained increasing popularity in high-dimensional data analysis. A fundamental problem is determination of the number of spiked eigenvalues, K. For estimation of K, most attention has focused on the use of top eigenvalues of sample covariance matrix, and there is little investigation into proper ways of using bulk eigenvalues to estimate K. We propose a principled approach to incorporating bulk eigenvalues in the estimation of K. Our method imposes a working model on the residual covariance matrix, which is assumed to be a diagonal matrix whose entries are drawn from a gamma distribution. Under this model, the bulk eigenvalues are asymptotically close to the quantiles of a fixed parametric distribution. This motivates us to propose a two-step method: the first step uses bulk eigenvalues to estimate parameters of this distribution, and the second step leverages these parameters to assist the estimation of K. The resulting estimator K̂ aggregates information in a large number of bulk eigenvalues. We show the consistency of K̂ under a standard spiked covariance model. We also propose a confidence interval estimate for K. Our extensive simulation studies show that the proposed method is robust and outperforms the existing methods in a range of scenarios. We apply the proposed method to analysis of a lung cancer microarray dataset and the 1000 Genomes dataset.

Date: 2023
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DOI: 10.1080/01621459.2021.1933497

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