Estimating eigenvectors and eigenspaces of covariance matrices: Optimal Bounds and Conditions for Consistency

Abstract

Let $X=[\hat{I}{¾}_1,\hat{I}{¾}_2,...,\hat{I}{¾}_d{]}^{\top }$ be a zero-mean random vector of large dimension $d$ ($d\to \infty$) with (hidden) covariance matrix $M=(m_{ij}{)}_{1\le i,j\le d},$ where $m_{ij}=m_{ji}=\text{Cov}(\hat{I}{¾}_i,\hat{I}{¾}_j).$ Let $X_1,X_2,\dots ,X_n$ be $n$ iid samples of $X$. Consider the sample covariance matrix $$\tilde{M}:=\frac{1}{n}{\sum }_{i=1}^n{X}_i{X}_i^{\top }.$$ In practice, one frequently uses the eigenvectors and eigenspaces of $\tilde{M}$ as estimators for those of $M$. A central task is to provide an error analysis for these estimators. In this paper, we provide an optimal error analysis, obtaining upper and lower bounds of matching order of magnitude, for a wide range of parameters $d$ and $n$, under mild assumptions on $M$. As corollaries, we obtain new necessary and sufficient conditions for the consistency of the estimators. In these conditions, we only require the number of samples $n$ to depend linearly on the effective rank of $M$, which can be much smaller than the dimension $d$.