The asymptotic distribution of the determinant of a random correlation matrix

DOI10.1111/STAN.12113MaRDI QIDQ6089158zbMATH OpenOpenAlexFDO

Authors Anca Maria Hanea, Gabriela F. Nane

Publication date 14 December 2023

Published in Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1309.7268

zbMATH Keywords

beta distributiondeterminantrandom correlation matrixrandom matrixregular vines

Mathematics Subject Classification ID

Basic linear algebra (15Axx) Special matrices (15Bxx) Multivariate analysis (62Hxx)

Abstract: Random correlation matrices are studied for both theoretical interestingness and importance for applications. The author of [6] is interested in their interpretation as covariance matrices of purely random signals, the authors of [16] employ them in the generation of random clusters for studying clustering methods, whereas the authors of [8] use them for studying subset selection in multiple regression, etc. The determinant of a matrix is one of the most basic and important matrix functions, and this makes studying the distribution of the determinant of a random correlation matrix of paramount importance. Our main result gives the asymptotic distribution of the determinant of a random correlation matrix sampled from a uniform distribution over the space of $dimesd$ correlation matrices. Several spin-off results are proven along the way, and an interesting connection with the law of the determinant of general random matrices, proven in [15], is investigated.

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Cited in

(4)

• A method to calculate correlation functions for \(\beta =1\) random matrices of odd size
• What is an optimal value of \(k\) in \(k\)-fold cross-validation in discrete Bayesian network analysis?
• Asymptotic correlations for Gaussian and Wishart matrices with external source
• Logarithmic law of large random correlation matrices

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