Phase transition in limiting distributions of coherence of high-dimensional random matrices
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Abstract: The coherence of a random matrix, which is defined to be the largest magnitude of the Pearson correlation coefficients between the columns of the random matrix, is an important quantity for a wide range of applications including high-dimensional statistics and signal processing. Inspired by these applications, this paper studies the limiting laws of the coherence of random matrices for a full range of the dimension with a special focus on the ultra high-dimensional setting. Assuming the columns of the random matrix are independent random vectors with a common spherical distribution, we give a complete characterization of the behavior of the limiting distributions of the coherence. More specifically, the limiting distributions of the coherence are derived separately for three regimes: , , and . The results show that the limiting behavior of the coherence differs significantly in different regimes and exhibits interesting phase transition phenomena as the dimension grows as a function of . Applications to statistics and compressed sensing in the ultra high-dimensional setting are also discussed.
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Cited in
(19)- Necessary and sufficient conditions for the asymptotic distributions of coherence of ultra-high dimensional random matrices
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- Recent advances in directional statistics
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- Asymptotics of eigenstructure of sample correlation matrices for high-dimensional spiked models
- Phase transition in random tensors with multiple independent spikes
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