Sample canonical correlation coefficients of high-dimensional random vectors: Local law and Tracy–Widom limit
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Publication:6063733
Abstract: Consider two random vectors and , where the entries of and are i.i.d. random variables with mean zero and variance one, and and are and deterministic population covariance matrices. With independent samples of , we study the sample correlation between these two vectors using canonical correlation analysis. We denote by and the sample covariance matrices for and , respectively, and the sample cross-covariance matrix. Then the sample canonical correlation coefficients are the square roots of the eigenvalues of the sample canonical correlation matrix . Under the high-dimensional setting with and as , we prove that the largest eigenvalue of converges to the Tracy-Widom distribution as long as we have . This extends the result in [16], which established the Tracy-Widom limit of the largest eigenvalue of under the assumption that all moments are finite. Our proof is based on a linearization method, which reduces the problem to the study of a random matrix . In particular, we shall prove an optimal local law on its inverse , i.e the resolvent. This local law is the main tool for both the proof of the Tracy-Widom law in this paper, and the study in [22,23] on the canonical correlation coefficients of high-dimensional random vectors with finite rank correlations.
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Cited in
(6)- Local canonical correlation coefficients and canonical variables of groups of random variables
- Limiting distribution of the sample canonical correlation coefficients of high-dimensional random vectors
- Limiting spectral distribution of high-dimensional noncentral Fisher matrices and its analysis
- Spiked eigenvalues of noncentral Fisher matrix with applications
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