On the asymptotic properties of product-PCA under the high-dimensional setting

Principal component analysis (PCA) is a widely used dimension reduction method, but its performance is known to be non-robust to outliers. Recently, product-PCA (PPCA) has been shown to possess the efficiency-loss free ordering-robustness property: (i) in the absence of outliers, PPCA and PCA share the same asymptotic distributions; (ii), in the presence of outliers, PPCA is more ordering-robust than PCA in estimating the leading eigenspace. PPCA is thus different from the conventional robust PCA methods, and may deserve further investigations. In this article, we study the high-dimensional statistical properties of the PPCA eigenvalues via the techniques of random matrix theory. In particular, we derive the critical value for being distant spiked eigenvalues, the limiting values of the sample spiked eigenvalues, and the limiting spectral distribution of PPCA. Similar to the case of PCA, the explicit forms of the asymptotic properties of PPCA become available under the special case of the simple spiked model. These results enable us to more clearly understand the superiorities of PPCA in comparison with PCA. Numerical studies are conducted to verify our results.