Eigenvalue Distribution of a High-Dimensional Distance Covariance Matrix With Application

DOI10.5705/SS.202020.0327MaRDI QIDQ6039863zbMATH OpenOpenAlexWikidataFDO

Authors Weiming Li, Qinwen Wang, Jian-Feng Yao

Publication date 23 May 2023

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2105.07641

zbMATH Keywords

distance covariancedistance covariance matrixeigenvalue distributionfinite-rank perturbationnonlinear correlationspiked models

Mathematics Subject Classification ID

Statistics (62-XX)

Abstract: We introduce a new random matrix model called distance covariance matrix in this paper, whose normalized trace is equivalent to the distance covariance. We first derive a deterministic limit for the eigenvalue distribution of the distance covariance matrix when the dimensions of the vectors and the sample size tend to infinity simultaneously. This limit is valid when the vectors are independent or weakly dependent through a finite-rank perturbation. It is also universal and independent of the details of the distributions of the vectors. Furthermore, the top eigenvalues of this distance covariance matrix are shown to obey an exact phase transition when the dependence of the vectors is of finite rank. This finding enables the construction of a new detector for such weak dependence where classical methods based on large sample covariance matrices or sample canonical correlations may fail in the considered high-dimensional framework.

Cites work

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Cited in

(2)

• Distribution approximation of covariance matrix eigenvalues
• Ties, tails and spectra: on rank-based dependency measures in high dimensions

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