Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/230735
Authors: 
Naumov, A.
Spokoiny, V.
Ulyanovk, V.
Year of Publication: 
2018
Series/Report no.: 
IRTG 1792 Discussion Paper No. 2018-024
Abstract: 
Let X1, . . . ,Xn be i.i.d. sample in Rp with zero mean and the covariance matrix . The problem of recovering the projector onto an eigenspace of from these observations naturally arises in many applications. Recent technique from [9] helps to study the asymp- totic distribution of the distance in the Frobenius norm kPr - bP rk2 between the true projector Pr on the subspace of the rth eigenvalue and its empirical counterpart bP r in terms of the effective rank of . This paper offers a bootstrap procedure for building sharp confidence sets for the true projector Pr from the given data. This procedure does not rely on the asymptotic distribution of kPr - bP rk2 and its moments. It could be applied for small or moderate sample size n and large dimension p. The main result states the validity of the proposed procedure for finite samples with an explicit error bound for the er- ror of bootstrap approximation. This bound involves some new sharp results on Gaussian comparison and Gaussian anti-concentration in high-dimensional spaces. Numeric results confirm a good performance of the method in realistic examples.
JEL: 
C00
Document Type: 
Working Paper

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