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 distributionPearson correlation coefficientrandom vectortest statisticsweak law of large numbersweak law of the logarithm

Mathematics Subject Classification ID

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

Review text

A double array of non-degenerate independent and identically distributed random variables is considered. Necessary and sufficient conditions are established for the asymptotic distribution of the largest entry of the sample correlation matrix that is composed of the Pearson correlation coefficients between the pertinent random vectors. An equivalence of six statements pertaining to the weak law of large numbers has been proved. Relations to some previous strong limit theorems are indicated. Some open problems are posed.

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• Necessary and sufficient conditions for the asymptotic distributions of coherence of ultra-high dimensional random matrices
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• 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
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• Spectral Properties of Rescaled Sample Correlation Matrix
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• Estimating structured high-dimensional covariance and precision matrices: optimal rates and adaptive estimation
• Limiting laws of coherence of random matrices with applications to testing covariance structure and construction of compressed sensing matrices
• Testing for practically significant dependencies in high dimensions via bootstrapping maxima of U-statistics
• Maximum interpoint distance of high-dimensional random vectors
• Limiting distributions of largest entries of sample co-variance matrices from 1-dependent normal populations
• An adaptive test of the independence of high-dimensional data based on Kendall rank correlation coefficient
• Asymptotic distributions of largest Pearson correlation coefficients under dependent structures
• Moderate deviation principle for the determinant of sample correlation matrix
• Largest magnitude for off-diagonal auto-correlation coefficients in high dimensional framework
• Largest entries of high-dimensional sample covariance matrix under autoregressive structure: asymptotic theory and phase transition
• Asymptotic properties of a correlation matrix under a two-step monotone incomplete sample

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