Generic features in the spectral decomposition of correlation matrices

DOI10.1063/5.0054438MaRDI QIDQ4958132zbMATH OpenOpenAlexFDO

Authors Yuriy Stepanov, Hendrik Herrmann, Thomas Guhr

Publication date 6 September 2021

Published in Journal of Mathematical Physics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2104.08966

zbMATH Keywords

correlation matrixeigenvalueeigenvectorlower bound

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Inequalities involving eigenvalues and eigenvectors (15A42) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Measures of association (correlation, canonical correlation, etc.) (62H20)

Abstract: We show that correlation matrices with particular average and variance of the correlation coefficients have a notably restricted spectral structure. Applying geometric methods, we derive lower bounds for the largest eigenvalue and the alignment of the corresponding eigenvector. We explain how and to which extent, a distinctly large eigenvalue and an approximately diagonal eigenvector generically occur for specific correlation matrices independently of the correlation matrix dimension.

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Cited in

(6)

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