Necessary and sufficient conditions for the asymptotic distribution of the largest entry of a sample correlation matrix

DOI10.1007/S00440-009-0220-ZMaRDI QIDQ5961955zbMATH OpenOpenAlexFDO

Authors Deli Li, Weidong Liu, Andrew Rosalsky

Publication date 16 September 2010

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00440-009-0220-z

zbMATH Keywords

asymptotic distributionweak law of large numbersPearson correlation coefficienttest statisticsrandom vectorweak law of the logarithm

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Measures of association (correlation, canonical correlation, etc.) (62H20) Central limit and other weak theorems (60F05) Strong limit theorems (60F15)

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Cites work

• scientific article; zbMATH DE number 3716479 (Why is no real title available?)
• scientific article; zbMATH DE number 49190 (Why is no real title available?)
• scientific article; zbMATH DE number 741240 (Why is no real title available?)
• Asymptotic distribution of the largest off-diagonal entry of correlation matrices
• Large deviations of sums of independent random variables
• Laws of large numbers for quadratic forms, maxima of products and truncated sums of i.i.d. random variables
• Necessary and sufficient conditions for the strong law of large numbers for \(U\)-statistics.
• Some strong limit theorems for the largest entries of sample correlation matrices
• The asymptotic distribution and Berry-Esseen bound of a new test for independence in high dimension with an application to stochastic optimization
• The asymptotic distributions of the largest entries of sample correlation matrices.
• When is the Student \(t\)-statistic asymptotically standard normal?

Cited in

(28)

• Asymptotic distributions of largest Pearson correlation coefficients under dependent structures
• Moderate deviation principle for the determinant of sample correlation matrix
• Necessary and sufficient conditions for the asymptotic distributions of coherence of ultra-high dimensional random matrices
• Largest magnitude for off-diagonal auto-correlation coefficients in high dimensional framework
• 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
• Testing independence in high dimensions with sums of rank correlations
• Spectral Properties of Rescaled Sample Correlation Matrix
• Asymptotic theory for maximum deviations of sample covariance matrix estimates
• 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
• Asymptotic properties of a correlation matrix under a two-step monotone incomplete sample
• 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
• Asymptotic analysis for extreme eigenvalues of principal minors of random matrices
• The asymptotic distributions of the largest entries of sample correlation matrices under an -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
• An adaptive test of the independence of high-dimensional data based on Kendall rank correlation coefficient
• Testing for practically significant dependencies in high dimensions via bootstrapping maxima of U-statistics
• Asymptotic power of Rao's score test for independence in high dimensions

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