Eigenvector overlaps in large sample covariance matrices and nonlinear shrinkage estimators

Abstract

Consider a data matrix $Y=[{\mathbf{y}}_1,\cdots ,{\mathbf{y}}_N]$ of size $M\times N$, where the columns are independent observations from a random vector $\mathbf{y}$ with zero mean and population covariance $\Sigma$. Let ${\mathbf{u}}_i$ and ${\mathbf{v}}_j$ denote the left and right singular vectors of $Y$, respectively. This study investigates the eigenvector/singular vector overlaps $⟨{\mathbf{u}}_i,D_1{\mathbf{u}}_j⟩$, $⟨{\mathbf{v}}_i,D_2{\mathbf{v}}_j⟩$ and $⟨{\mathbf{u}}_i,D_3{\mathbf{v}}_j⟩$, where $D_k$ are general deterministic matrices with bounded operator norms. We establish the convergence in probability of these eigenvector overlaps toward their deterministic counterparts with explicit convergence rates, when the dimension $M$ scales proportionally with the sample size $N$. Building on these findings, we offer a more precise characterization of the loss for Ledoit and Wolf's nonlinear shrinkage estimators of the population covariance $\Sigma$.

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