Sample canonical correlation coefficients of high-dimensional random vectors with finite rank correlations
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Publication:6103219
DOI10.3150/22-bej1525zbMath1518.15042arXiv2102.03297OpenAlexW4367318136MaRDI QIDQ6103219
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Publication date: 2 June 2023
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2102.03297
canonical correlation analysisTracy-Widom lawGaussian orthogonal ensembleBBP transitionedge eigenvalues
Measures of association (correlation, canonical correlation, etc.) (62H20) Random matrices (probabilistic aspects) (60B20) Random matrices (algebraic aspects) (15B52)
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