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

DOI10.1007/s00440-009-0220-zzbMath1210.62010MaRDI QIDQ5961955

Andrew Rosalsky, Wei-Dong Liu, De Li Li

Publication date: 16 September 2010

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

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

zbMATH Keywords

asymptotic distribution; random vector; weak law of large numbers; Pearson correlation coefficient; test statistics; weak law of the logarithm

Mathematics Subject Classification ID

62E20: Asymptotic distribution theory in statistics

60F05: Central limit and other weak theorems

62H20: Measures of association (correlation, canonical correlation, etc.)

60F15: Strong limit theorems

Related Items

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, On Jiang's asymptotic distribution of the largest entry of a sample correlation matrix, Limiting laws of coherence of random matrices with applications to testing covariance structure and construction of compressed sensing matrices, Necessary and sufficient conditions for the asymptotic distributions of coherence of ultra-high dimensional random matrices, Asymptotic theory for maximum deviations of sample covariance matrix estimates

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