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.

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• Limiting distributions of largest entries of sample co-variance matrices from 1-dependent normal populations
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• 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
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• 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
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