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

DOI10.1016/J.JMVA.2012.04.002zbMATH Open1275.62037arXiv1011.3164OpenAlexW2068176434MaRDI QIDQ444980FDOQ444980

Authors: Yongcheng Qi, Andrew Rosalsky, Deli Li 

Publication date: 24 August 2012

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

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.

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

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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)

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Cited In (25)

• 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
• Central limit theorems for classical likelihood ratio tests for high-dimensional normal distributions
• Testing independence in high dimensions with sums of rank correlations
• Phase transition in limiting distributions of coherence of high-dimensional random matrices
• Max-sum test based on Spearman's footrule for high-dimensional independence tests
• Logarithmic law of large random correlation matrices
• Some strong limit theorems for the largest entries of sample correlation matrices
• Estimating structured high-dimensional covariance and precision matrices: optimal rates and adaptive estimation
• Maximum interpoint distance of high-dimensional random vectors
• Limiting distributions of largest entries of sample co-variance matrices from 1-dependent normal populations
• Asymptotic distribution of the largest off-diagonal entry of correlation matrices
• The asymptotic distributions of the largest entries of sample correlation matrices under dependence assumptions
• Bounding the maximum of dependent random variables
• 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
• Limit laws for the maximum interpoint distance under a 1-dependent assumption
• 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
• 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
• Asymptotic power of Rao's score test for independence in high dimensions

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