On Jiang's asymptotic distribution of the largest entry of a sample correlation matrix

DOI10.1016/J.JMVA.2012.04.002MaRDI QIDQ444980zbMATHOpenAlexFDO

Authors Yongcheng Qi, Andrew Rosalsky, Deli Li

Publication date 24 August 2012

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1011.3164

zbMATH Keywords

law of the logarithmPearson correlation coefficientsecond moment problem

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Measures of association (correlation, canonical correlation, etc.) (62H20)

Abstract: Let $X,X_{k,i};igeq1,kgeq1$ be a double array of nondegenerate 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 $infty$. This paper is devoted to the solution to an open problem posed in Li, Liu, and Rosalsky (2010) on the asymptotic distribution of the largest entry $L_n=ma{x}_{1leqi<jleq{p}_n}left|hat{ho}_{i,j}^{(n)}ight|$ of the sample correlation matrix $$ where $hat{ho}_{i,j}^{(n)}$ denotes the Pearson correlation coefficient between $(X_{1,i},\mathrm{...},X_{n,i}{)}^{\prime }$ and $(X_{1,j},\mathrm{...},X_{n,j}{)}^{\prime }$. We show under the assumption $mathbbE{X}^2<infty$ that the following three statements are equivalent: �egin{align*} & {�f (1)} quad lim_{n o infty} n^{2} int_{(n log n)^{1/4}}^{infty} left( F^{n-1}(x) - F^{n-1}left(frac{sqrt{n log n}}{x} ight) ight) dF(x) = 0, \ & {�f (2)} quad left ( frac{n}{log n} ight )^{1/2} L_{n} stackrel{mathbb{P}}{ ightarrow} 2, \ & {�f (3)} quad lim_{n ightarrow infty} mathbb{P} left (n L_{n}^{2} - a_{n} leq t ight ) = exp left { - frac{1}{sqrt{8 pi}} e^{-t/2} ight }, - infty < t < infty end{align*} where $F(x)=mathbbP(|X|leqx),xgeq0$ and $a_n=4log{p}_n-loglog{p}_n$, $ngeq2$. To establish this result, we present six interesting new lemmas which may be beneficial to the further study of the sample correlation matrix.

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Cited in

(25)

• Limit laws for the maximum interpoint distance under a 1-dependent assumption
• Central limit theorems for classical likelihood ratio tests for high-dimensional normal distributions
• Maximum interpoint distance of high-dimensional random vectors
• Testing independence in high dimensions with sums of rank correlations
• Largest entries of sample correlation matrices from equi-correlated normal populations
• Phase transition in limiting distributions of coherence of high-dimensional random matrices
• Bounding the maximum of dependent random variables
• Some upper tail approximations for the distribution of the maximum of correlated chi-square or gamma random variables
• Asymptotic distribution of the maximum interpoint distance for high-dimensional data
• Large sample correlation matrices: a comparison theorem and its applications
• Logarithmic law of large random correlation matrices
• The asymptotic distributions of the largest entries of sample correlation matrices.
• Limiting behavior of largest entry of random tensor constructed by high-dimensional data
• Necessary and sufficient conditions for the asymptotic distribution of the largest entry of a sample correlation matrix
• Asymptotic power of Rao's score test for independence in high dimensions
• Some strong limit theorems for the largest entries of sample correlation matrices
• 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
• Point process convergence for the off-diagonal entries of sample covariance matrices
• Max-sum test based on Spearman's footrule for high-dimensional independence tests
• Asymptotic distribution of the largest off-diagonal entry of correlation matrices
• Limiting distributions of largest entries of sample co-variance matrices from 1-dependent normal populations
• Necessary and sufficient conditions for the asymptotic distributions of coherence of ultra-high dimensional random matrices
• Estimating structured high-dimensional covariance and precision matrices: optimal rates and adaptive estimation
• The asymptotic distributions of the largest entries of sample correlation matrices under dependence assumptions

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