Spectral statistics of large dimensional Spearman's rank correlation matrix and its application

DOI10.1214/15-AOS1353zbMath1328.15046arXiv1312.5119OpenAlexW1933489904MaRDI QIDQ892251

Zhigang Bao, Liang-Ching Lin, Wang Zhou, Guangming Pan

Publication date: 18 November 2015

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: Let $mathbf{Q}=(Q_1,ldots,Q_n)$ be a random vector drawn from the uniform distribution on the set of all $n!$ permutations of ${1,2,ldots,n}$. Let $mathbf{Z}=(Z_1,ldots,Z_n)$, where $Z_j$ is the mean zero variance one random variable obtained by centralizing and normalizing $Q_j$, $j=1,ldots,n$. Assume that $mathbf {X}_i,i=1,ldots ,p$ are i.i.d. copies of $frac{1}{sqrt{p}}mathbf{Z}$ and $X=X_{p,n}$ is the $p imes n$ random matrix with $mathbf{X}_i$ as its $i$th row. Then $S_n=XX^*$ is called the $p imes n$ Spearman's rank correlation matrix which can be regarded as a high dimensional extension of the classical nonparametric statistic Spearman's rank correlation coefficient between two independent random variables. In this paper, we establish a CLT for the linear spectral statistics of this nonparametric random matrix model in the scenario of high dimension, namely, $p=p(n)$ and $p/n o cin(0,infty)$ as $n oinfty$. We propose a novel evaluation scheme to estimate the core quantity in Anderson and Zeitouni's cumulant method in [Ann. Statist. 36 (2008) 2553-2576] to bypass the so-called joint cumulant summability. In addition, we raise a two-step comparison approach to obtain the explicit formulae for the mean and covariance functions in the CLT. Relying on this CLT, we then construct a distribution-free statistic to test complete independence for components of random vectors. Owing to the nonparametric property, we can use this test on generally distributed random variables including the heavy-tailed ones.

Full work available at URL: https://arxiv.org/abs/1312.5119

zbMATH Keywords

central limit theoremrandom matrixindependence testlinear spectral statisticsnonparametric methodSpearman's rank correlation matrix

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Random matrices (probabilistic aspects) (60B20) Random matrices (algebraic aspects) (15B52)

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