Distributed Online Estimation of Spiked Eigenvalues with Adaptive Weighting under Persistent Aspect Ratio Heterogeneity

Abstract

We study online estimation of spiked covariance eigenvalues from observations distributed across $L$ nodes with heterogeneous and persistent effective sample sizes. In the proportional high-dimensional regime, local Rayleigh statistics are deterministically distorted by node-specific aspect ratios $c_{\ell ,t}=p/N_{\ell ,t}^{\mathrm{eff}}$, and direct aggregation of uncorrected statistics converges to the wrong limit. We propose a correct-then-aggregate framework in which each node removes its deterministic bias via an inverse Rayleigh transfer map, and the server fuses corrected estimates using adaptive soft-max weights based on predictable fluctuation metrics, transmitting only $O(k)$ scalars per active node per round. We establish consistency and asymptotic normality of the global estimator, enabling valid online inference, and derive non-asymptotic bounds quantifying how accuracy improves with the number of nodes and their effective sample sizes. The adaptive weights achieve variance reduction comparable to oracle inverse-variance weighting, confirming the data-driven construction is nearly efficient. Simulation studies validate these properties. An application to cross-venue monitoring of a dominant market factor shows the method tracks systemic risk in real time while substantially reducing communication cost relative to a centralized pooled approach.