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Dharmawansa, P., Johnstone, I. M., and Onatski, A.

Local Asymptotic Normality of the Spectrum of High-Dimensional Spiked F-Ratios

CWPE1807

Abstract: We consider two types of spiked multivariate F distributions: a scaled distribution with the scale matrix equal to a rank-k perturbation of the identity, and a distribution with trivial scale, but rank-k non-centrality. The eigenvalues of the rank-k matrix (spikes) parameterize the joint distribution of the eigenvalues of the corresponding F matrix. We show that, for the spikes located above a phase transition threshold, the asymptotic behavior of the log ratio of the joint density of the eigenvalues of the F matrix to their joint density under a local deviation from these values depends only on the k of the largest eigenvalues {code} Furthermore, we show that {code} are asymptotically jointly normal, and the statistical experiment of observing all the eigenvalues of the F matrix converges in the Le Cam sense to a Gaussian shift experiment that depends on the asymptotic means and variances of {code}. In particular, the best statistical inference about sufficiently large spikes in the local asymptotic regime is based on the k of the largest eigenvalues only.

Keywords: Spiked F-ratio, Local Asymptotic Normality, multivariate F distribution, phase transition, super-critical regime, asymptotic normality of eigenvalues, limits of statistical experiments.

Author links: Alexey Onatskiy  

PDF: http://www.econ.cam.ac.uk/research-files/repec/cam/pdf/cwpe1807.pdf

Open Access Link: https://doi.org/10.17863/CAM.21782


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