Bootstrap confidence sets for spectral projectors of sample covariance

Alexey Naumov, Vladimir Spokoiny, Vladimir Ulyanov

Let $X_1,\dots ,X_n$ be i.i.d. sample in ${\mathbb{R}}^p$ with zero mean and the covariance matrix $\mathbf{\Sigma }$. The problem of recovering the projector onto an eigenspace of $\m…