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

DOI10.1214/105051605000000773zbMATH Open1098.60034arXivmath/0603334OpenAlexW1975925591MaRDI QIDQ2494587FDOQ2494587

Authors: Andrew Rosalsky, Deli Li 

Publication date: 29 June 2006

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

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.

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

Recommendations

• 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
• The limiting distributions of eigenvalues of sample correlation matrices
• The asymptotic distributions of the largest entries of sample correlation matrices under dependence assumptions
• Asymptotic distribution of the largest off-diagonal entry of correlation matrices

Mathematics Subject Classification ID

Strong limit theorems (60F15)

Cites Work

• On the distribution of the largest eigenvalue in principal components analysis
• The asymptotic distributions of the largest entries of sample correlation matrices.
• Title not available (Why is that?)
• Title not available (Why is that?)
• Two moments suffice for Poisson approximations: The Chen-Stein method
• Convergence Rates in the Law of Large Numbers
• Limit theorems for delayed sums
• Sums of independent Banach space valued random variables
• Title not available (Why is that?)
• Precise lim sup behavior of probabilities of large deviations for sums of i.i.d. random variables

Cited In (20)

• Necessary and sufficient conditions for the asymptotic distribution of the largest entry of a sample correlation matrix
• The asymptotic distributions of the largest entries of sample correlation matrices.
• Necessary and sufficient conditions for the asymptotic distributions of coherence of ultra-high dimensional random matrices
• 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
• Asymptotic theory for maximum deviations of sample covariance matrix estimates
• A Darling-Erdős type result for stationary ellipsoids
• Strong limit theorem for largest entry of large-dimensional random tensor
• Limiting distributions of largest entries of sample co-variance matrices from 1-dependent normal populations
• Extremes of weighted Brownian bridges in increasing dimension
• Asymptotic analysis for extreme eigenvalues of principal minors of random matrices
• The asymptotic distributions of the largest entries of sample correlation matrices under an \(\alpha\)-mixing assumption
• Asymptotic distribution of the maximum interpoint distance for high-dimensional data
• Large sample correlation matrices: a comparison theorem and its applications
• 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
• Limiting laws of coherence of random matrices with applications to testing covariance structure and construction of compressed sensing matrices
• On Jiang's asymptotic distribution of the largest entry of a sample correlation matrix

This page was built for publication: Some strong limit theorems for the largest entries of sample correlation matrices

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2494587)