AI & ML
Inference and Uncertainty Quantification for Streaming $r$-PCA
arXiv stat.ML0 views
arXiv:2608.18374v2 Announce Type: replace Abstract: We address two open questions in streaming PCA via Oja's algorithm: sharp operator-norm convergence for general rank under sub-Gaussian data, and distributional inference for the resulting subspace estimator. Existing convergence analyses, even in the rank-one case, either assume bounded data or leave non-vanishing remainder terms that prevent adaptation to a polynomially vanishing tail spectrum, while existing distributional results are confined to the rank-one case. Our convergence theory removes these remainder terms and yields a sharp rate. In the dense-tail spiked covariance regime, this rate matches the minimax rate up to logarithmic factors. More generally, we prove a matching lower bound, up to logarithmic factors, across both dense-tail and sparse-tail regimes under a mild nondegeneracy condition. The analysis yields a linearization of Oja's iterates, which in turn enables a high-dimensional Gaussian approximation for the general-rank subspace estimation error with an explicit limiting covariance. We also establish a row-wise Gaussian approximation over convex sets for the aligned difference, recovering prior rank-one results as special cases. For practical inference, we develop an online multiplier bootstrap algorithm and prove its consistency. Beyond streaming PCA, our techniques contribute to Gaussian approximation and bootstrap inference for nonconvex stochastic approximation.
Source:https://arxiv.org/abs/2608.18374PreviousIntegrating Background Knowledge for Scalable Causal DiscoveryNextSampling Design and Confidence Tubes for Integral Curves on Riemannian Manifolds
Related posts

NFL Week 9 preview: 5 games you can’t miss this weekend
0TechRadar
How to Convert Any Webpage to Clean Markdown for RAG & Save 90% LLM Tokens in Node.js
0dev.to
Calibration‑free top‑k MoE selector saves tuning
0dev.to
How to Evaluate RAG Retrieval in 2026: Question Sets, Metrics That Mislead, and a Practical Recipe
0dev.to
Reading a Competitor's Pricing Page Like an Engineer
0dev.to
Day 4: Adding VLAN support
0dev.to