Phase transition in limiting distributions of coherence of high-dimensional random matrices

DOI10.1016/j.jmva.2011.11.008zbMath1352.60006arXiv1102.2926OpenAlexW2019602541MaRDI QIDQ413738

Tiefeng Jiang

Publication date: 7 May 2012

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1102.2926

zbMATH Keywords

coherencephase transitionrandom matrixlimiting distributionmaximumcorrelation coefficientsample correlation matrixChen-Stein method

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Central limit and other weak theorems (60F05) Random matrices (probabilistic aspects) (60B20) Strong limit theorems (60F15)

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