Rolling covariance estimates feed two objects that are routinely treated as market structure. The first is the dominant eigenspace, monitored through the projector movement $\widehat D_{K,t}=\|\widehat P_{K,t}-\widehat P_{K,t-1}\|_F$; the second comprises scalar spectral functionals such as the absorption ratio and the leading-eigenvalue share. Both fluctuate under estimation noise, and shrinkage changes the law of that noise, so reading their movements as structural change requires calibration. For the eigenspace, we derive a first-order null law for $\widehat D_{K,t}$ between overlapping windows that share most of their data and show that it transfers without change to rotation-equivariant shrinkage estimators. A distribution-free Davis-Kahan band gauges whether the eigenspace is identified, an estimator-aware bootstrap provides the calibrated test, and a companion power analysis gives an approximate design rule for the smallest detectable rotation. For the scalar functionals, we show that first-order immunity to elliptical kurtosis holds for scale-invariant functionals and only for them, so that one estimated scalar calibrates the projector null and the absorption-ratio and leading-share intervals across the elliptical family. In high dimensions, where shrinkage cleaning biases the absorption ratio, we give a trace-preserving spike-debiased estimator that removes the bias. The results are verified by simulation under a known population covariance; an equity-panel appendix shows the procedures as diagnostics when the population is unknown.
Kernel ridge regression is a standard method for functional data analysis, but its exact behavior is less understood. We study tensor-product kernel ridge regression for estimating the $r$-th moment function of a random function based on noisy discrete observations. The formulation includes mean estimation, covariance estimation, and higher-order moment estimation in a single framework. Our main result gives a precise $1+o_{\mathbb{P}}(1)$ expansion for the $L^2$ error at each admissible regularization parameter. The expansion consists of bias and three variance terms corresponding respectively to variation across the independent sample paths, latent signal variation at each sample point, and variation from measurement errors, identifying the refined error structure underlying functional data. As applications, we show that KRR attains the minimax rate for source smoothness $s \leq 2$ but becomes suboptimal in the sparse regime for $s>2$ due to saturation. A technical ingredient is a set of concentration inequalities for $U$-statistics suited to the dependent product structure of functional observations.
Classical likelihood-ratio tests and $\Delta$AIC exacerbate the statistical significance crisis by scaling with sample size, often flagging negligible improvements as highly significant. While causal estimands like the average treatment effect (ATE) quantify practical magnitude, their reliance on the expectation operator ties them to the data's original coordinate scale. Furthermore, existing pseudo-$R^2$ metrics are inadequate: variance-based measures ignore higher-order distributional changes, and current formulations lack invariance to monotone transformations. We resolve these limitations by introducing Entropic Variance (EV) as a rigorous, scale-independent generalization of error variance in ordinary least squares. We define the population EV-based parameter, $\rho^2_V$, which projects unbounded cross-entropy onto a standardized $[0,1]$ scale, and establish that the EV-based $F_\text{V}$ statistic asymptotically follows an $F$-distribution. Building on these distributional properties, we propose two estimators: the empirical population $R^2_{\text{SV}}$ and the out-of-sample predictive $R^2_{\text{SVP}}$. Both are derived by exponentiating per-observation cross-entropy and incorporate a degrees-of-freedom correction for training optimism. Leveraging the $F_\text{V}$-distribution, we derive refined $p$-values and confidence intervals for $\rho^2_V$ without requiring intractable Fisher information matrices. Simulation studies and a Parkinson's disease microbiome application demonstrate the superiority of variable selection via these EV-$R^2$ metrics. Notably, evaluating the $R^2_{\text{SVP}}$ of a LASSO path via data-splitting reduced false discovery rates from 80% to 6% in simulations while fully preserving signal recall.
In the era of high-dimensional data, the classical assumption that the number of observations n vastly exceeds the number of variables p is frequently violated. When p and n grow proportionally (p/n → c > 0), the sample covariance matrix becomes severely distorted by sampling noise. Its eigenvalues are systematically biased: large population variances are overestimated, and small ones are underestimated. This phenomenon, governed by the Marchenko–Pastur law of Random Matrix Theory (RMT), renders standard statistical procedures highly unstable. This paper provides a comprehensive, mathematically rigorous treatment of spectral shrinkage, the optimal remedy for this distortion. We transition from the theoretical foundations of the Stieltjes transform to the practical implementation of rotationally invariant estimators. By combining formal proofs, geometrical interpretations, and reproducible R simulations with explicit console outputs, we demonstrate why spectral shrinkage is not merely a heuristic regularization technique, but a mathematically undeniable necessity for modern high-dimensional statistics.
Innocent Nsabimana· International Journal For Mu...· 0 citations
Drifting objectives compare a target and model distribution through a vector field observed noisily at finitely many locations. We ask what distributional conclusion such a frozen measurement system warrants. For integrable antisymmetric interactions and absolutely continuous laws in a declared finite density basis, the unnormalized sampled numerator satisfies $\operatorname{vec}(V_X)=Mc$, where $c$ is an antisymmetric mismatch and $M$ is probe-dependent. This identity yields an a posteriori total-variation (TV) upper confidence bound accounting for held-out field noise, estimated-operator error, and externally validated $L^1$ residual radii around normalized density approximants in the span; a nonpositive observability margin returns the trivial TV bound and abstains. The audit recomputes this numerator from held-out samples; a normalized drift statistic requires a separate joint numerator--denominator analysis. For Gaussian-RBF interactions, a global envelope supports distribution-free and empirical-Bernstein radii without truncation, with companion bounds for the Laplace similarity in the original drifting objective. We characterize random-probe observability by a population Gram matrix, identify rank and symmetry degeneracies, and prove large-bandwidth collapse toward mean matching. Synthetic studies exercise Gaussian and Laplace numerators, separately prespecified bounded-vector and variance-adaptive radii, Monte Carlo-calibrated operators, nonzero residual radii around normalized finite-basis approximants, outward-rounded observability bounds, and designed abstention. A joint basis-size/dimension stress path extends evaluation through $m=8$. The result is a conditional diagnostic for a finite density class, or for normalized finite-basis density approximants with external residual radii, not a universal guarantee from small training drift.
Under mild design conditions, satisfied by a broad class of correlated random designs, it is shown that EBMoM consistently estimates a growing number of moments and hence the prior itself, provided that $n\geq p^{1-o(1)}$.
Zhou Fan, Yandi Shen, Hao-Yu Wang et al.· 0 citations
This paper investigates the asymptotic behavior of the out-of-sample prediction risk of the high-dimensional ridgeless least-squares estimator when the feature dimension $p$ and the sample size $n$ grow proportionally. We consider a generalized spiked population covariance model with multiple latent factors, where the number of spiked eigenvalues may remain finite or increase with $n$, and the spiked eigenvalues may be bounded or diverge at arbitrary rates. Beyond characterizing the impact of covariance spectra, we reveal a new mechanism underlying benign overfitting: the prediction behavior of ridgeless interpolation is fundamentally governed by the alignment between the regression coefficient $\boldsymbol\beta$ and the spiked eigenspaces of the population covariance matrix. In particular, we show that the signal energy distributed along latent spike directions determines whether interpolation leads to benign, tempered, or catastrophic overfitting. Our theoretical framework establishes sharp prediction risk limits under minimal moment conditions, requiring only finite fourth moments rather than Gaussianity. We characterize how the number, strength, and geometric structure of the spikes jointly influence the double-descent phenomenon. These results provide a unified understanding of when latent covariance structures facilitate or hinder generalization in overparameterized regression.
Zhi-Jun Liu, Dandan Jiang· 0 citations
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