Some strong limit theorems for the largest entries of sample correlation matrices

DOI10.1214/105051605000000773MaRDI QIDQ2494587zbMATH OpenOpenAlexFDO

Authors Andrew Rosalsky, Deli Li

Publication date 29 June 2006

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0603334

Mathematics Subject Classification ID

Strong limit theorems (60F15)

Abstract: Let $X_{k,i};igeq1,kgeq1$ be an array of i.i.d. random variables and let $p_n;ngeq1$ be a sequence of positive integers such that $n/p_n$ is bounded away from 0 and $infty$. For $W_n=ma{x}_{1leqi<jleq{p}_n}|su{m}_{k=1}^n{X}_{k,i}{X}_{k,j}|$ and $L_n=ma{x}_{1leqi<jleq{p}_n}|hat{ho}_{i,j}^{(n)}|$ where $hat{ho}_{i,j}^{(n)}$ denotes the Pearson correlation coefficient between $(X_{1,i},\mathrm{...},X_{n,i}{)}^{\prime }$ and $(X_{1,j},\mathrm{...},X_{n,j}{)}^{\prime }$, the limit laws (i) $li{m}_{noinfty}frac{W}_n{n}^{alpha}=0$ a.s. $(alpha>1/2)$, (ii) $li{m}_{noinfty}{n}^{1-alpha}{L}_n=0$ a.s. $(1/2<alphaleq1)$, (iii) $li{m}_{noinfty}frac{W}_{n}sqrtnlogn=2$ a.s. and (iv) $li{m}_{noinfty}(fracnlogn{)}^{1/2}{L}_n=2$ a.s. are shown to hold under optimal sets of conditions. These results follow from some general theorems proved for arrays of i.i.d. two-dimensional random vectors. The converses of the limit laws (i) and (iii) are also established. The current work was inspired by Jiang's study of the asymptotic behavior of the largest entries of sample correlation matrices.

Review text

Let \(\{X_{k,i}: i \geq 1, k \geq 1\}\) be an array of independent and identically distributed random variables and let \(\{p_n, n \geq 1\}\) be a sequence of positive integers such that \(n/p_n\) is bounded away from zero and infinity. Let \(W_n= \max_{1 \leq i \leq j \leq p_n}| \sum_{k=1}^nX_{k,i}X_{k,j}| \) and \(L_n=\max_{1\leq i \leq j\leq p_n}| \hat \rho_{i,j}^{(n)}| \) where \(\hat \rho_{i,j}^{(n)}\) denotes the sample correlation coefficient between the vectors \((X_{1,i},\dots,X_{n,i})\) and \((X_{1,j},\dots,X_{n,j}).\) The authors derive strong limit theorems for the sequences \(W_n\) and \(L_n\). These results are obtained as corollaries for some general results proved for arrays of two-dimensional random vectors following the work of \textit{T. Jiang} [Ann. Appl. Probab. 14, No.~2, 865--880 (2004; Zbl 1047.60014)].

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Cited in

(24)

• The asymptotic distributions of the largest entries of sample correlation matrices.
• Asymptotic analysis for extreme eigenvalues of principal minors of random matrices
• Asymptotic distribution of the maximum interpoint distance for high-dimensional data
• Large sample correlation matrices: a comparison theorem and its applications
• The asymptotic distributions of the largest entries of sample correlation matrices under an -mixing assumption
• Limiting behavior of largest entry of random tensor constructed by high-dimensional data
• Point process convergence for the off-diagonal entries of sample covariance matrices
• Largest entries of sample correlation matrices from equi-correlated normal populations
• A Darling-Erdős type result for stationary ellipsoids
• Necessary and sufficient conditions for the asymptotic distributions of coherence of ultra-high dimensional random matrices
• Asymptotic theory for maximum deviations of sample covariance matrix estimates
• The entries of circular orthogonal ensembles
• Central limit theorems for classical likelihood ratio tests for high-dimensional normal distributions
• Phase transition in limiting distributions of coherence of high-dimensional random matrices
• On Jiang's asymptotic distribution of the largest entry of a sample correlation matrix
• Necessary and sufficient conditions for the asymptotic distribution of the largest entry of a sample correlation matrix
• Strong limit theorem for largest entry of large-dimensional random tensor
• Limiting laws of coherence of random matrices with applications to testing covariance structure and construction of compressed sensing matrices
• Limiting distributions of largest entries of sample co-variance matrices from 1-dependent normal populations
• Asymptotic distributions of largest Pearson correlation coefficients under dependent structures
• Largest magnitude for off-diagonal auto-correlation coefficients in high dimensional framework
• An almost sure limit theorem for the maximum interpoint distance of random vectors in spaces of growing dimension
• Largest entries of high-dimensional sample covariance matrix under autoregressive structure: asymptotic theory and phase transition
• Extremes of weighted Brownian bridges in increasing dimension

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