A note on switching eigenvalues under small perturbations

Marina Masioti, Connie S. N. Li-Wai-Suen, Luke A. Prendergast and Amanda Shaker

Communications in Statistics - Theory and Methods, 2024, vol. 53, issue 20, 7311-7325

Abstract: Sensitivity of eigenvectors and eigenvalues of symmetric matrix estimates to the removal of a single observation have been well documented in the literature. However, a complicating factor can exist in that the rank of the eigenvalues may change due to the removal of an observation, and with that so too does the perceived importance of the corresponding eigenvector. We refer to this problem as “switching of eigenvalues”. Since there is not enough information in the new eigenvalues, post observation removal, to indicate that this has happened, how do we know that this switching has occurred? In this article, we show that approximations to the eigenvalues can be used to help determine when switching may have occurred. We then discuss possible actions researchers can take based on this knowledge, for example making better choices when it comes to deciding how many principal components should be retained and adjustments to approximate influence diagnostics that perform poorly when switching has occurred. Our results are easily applied to any eigenvalue problem involving symmetric matrix estimators. We highlight our approach with application to two real data examples.

Date: 2024
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DOI: 10.1080/03610926.2023.2263114

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