On Jiang's asymptotic distribution of the largest entry of a sample correlation matrix

DOI10.1016/j.jmva.2012.04.002zbMath1275.62037arXiv1011.3164OpenAlexW2068176434MaRDI QIDQ444980

Andrew Rosalsky, Yongcheng Qi, De Li Li

Publication date: 24 August 2012

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

Full work available at URL: https://arxiv.org/abs/1011.3164

zbMATH Keywords

Pearson correlation coefficientlaw of the logarithmsecond moment problem

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Measures of association (correlation, canonical correlation, etc.) (62H20)

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• Some strong limit theorems for the largest entries of sample correlation matrices
• Asymptotic distribution of the largest off-diagonal entry of correlation matrices
• On the rate of convergence of normal extremes
• Probability Inequalities for Sums of Bounded Random Variables
• Convergence Rates in the Law of Large Numbers
• Necessary and sufficient conditions for the asymptotic distribution of the largest entry of a sample correlation matrix

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