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)

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Cites work

• Asymptotic distribution of the largest off-diagonal entry of correlation matrices
• 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?)
• 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

(29)

• Asymptotic power of Rao's score test for independence in high dimensions
• Testing independence in high dimensions with sums of rank correlations
• Asymptotic analysis for extreme eigenvalues of principal minors of random matrices
• Asymptotic distribution of the maximum interpoint distance for high-dimensional data
• Large sample correlation matrices: a comparison theorem and its applications
• The asymptotic distributions of the largest entries of sample correlation matrices under an -mixing assumption
• 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
• 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
• Some strong limit theorems for the largest entries of sample correlation matrices
• Asymptotic distribution of the largest off-diagonal entry of correlation matrices
• 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
• Spectral Properties of Rescaled Sample Correlation Matrix
• The asymptotic distributions of the largest entries of sample correlation matrices under dependence assumptions
• 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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