Asymptotics for High–Dimensional Covariance Matrices and Quadratic Forms with Applications to the Trace Functional and Shrinkage
(2016) , 40 pages
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- Abstract
- We establish large sample approximations for an arbitray number of bilinear forms of the sample variance-covariance matrix of a high-dimensional vector time series using `1-bounded weighting vectors. Estimation of the asymptotic covariance structure is also discussed. The results hold true without any constraint on the dimension, the number of forms and the sample size or their ratios. Concrete and potential applications are widespread and cover highdimensional data science problems such as projections onto sparse principal components or more general spanning sets as frequently considered, e.g. in classification and dictionary learning. As two specific applications of our results, we study in greater detail the asymptotics of the trace functional and shrinkage estimation of the covariance matrices. In shrinkage estimation, it turns out that the asymptotics di↵ers for weighting vectors bounded away from orthogonaliy and nearly orthogonal ones in the sense that their inner product converges to 0.
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Citations
Steland, A., & von Sachs, R. (2016). Asymptotics for High–Dimensional Covariance Matrices and Quadratic Forms with Applications to the Trace Functional and Shrinkage (ISBA Discussion Paper 2016/38). https://hdl.handle.net/2078.5/180059