A Lanczos-Based Algorithmic Approach for Spike Detection in Large Sample Covariance Matrices

Abstract: We introduce a new approach for estimating the number of spikes in a general class of spiked covariance models without directly computing the eigenvalues of the sample covariance matrix. This approach is based on the Lanczos algorithm and the asymptotic properties of the associated Jacobi matrix and its Cholesky factorization. A key aspect of the analysis is interpreting the eigenvector spectral distribution as a perturbation of its asymptotic counterpart. The specific exponential-type asymptotics of the Jacobi matrix enables an efficient approximation of the Stieltjes transform of the asymptotic spectral distribution via a finite continued fraction. As a consequence, we also obtain estimates for the density of the asymptotic distribution and the location of outliers. We provide consistency guarantees for our proposed estimators, proving their convergence in the high-dimensional regime. We demonstrate that, when applied to standard spiked covariance models, our approach outperforms existing methods in computational efficiency and runtime, while still maintaining robustness to exotic population covariances.