Sample canonical correlation coefficients of high-dimensional random vectors with finite rank correlations

DOI10.3150/22-bej1525zbMath1518.15042arXiv2102.03297OpenAlexW4367318136MaRDI QIDQ6103219

No author found.

Publication date: 2 June 2023

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2102.03297

zbMATH Keywords

canonical correlation analysisTracy-Widom lawGaussian orthogonal ensembleBBP transitionedge eigenvalues

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Random matrices (probabilistic aspects) (60B20) Random matrices (algebraic aspects) (15B52)

Cites Work

• Unnamed Item
• The Tracy-Widom law for the largest eigenvalue of F type matrices
• Spectral statistics of Erdős-Rényi graphs. I: Local semicircle law
• Averaging fluctuations in resolvents of random band matrices
• Fluctuations of the extreme eigenvalues of finite rank deformations of random matrices
• The convergence of the empirical distribution of canonical correlation coefficients
• The outliers of a deformed Wigner matrix
• Local law for random Gram matrices
• Extreme eigenvalues of large-dimensional spiked Fisher matrices with application
• The eigenvalues and eigenvectors of finite, low rank perturbations of large random matrices
• Outliers in the spectrum of large deformed unitarily invariant models
• Anisotropic local laws for random matrices
• Central limit theorems for eigenvalues in a spiked population model
• The largest eigenvalue of small rank perturbations of Hermitian random matrices
• Minimax estimation in sparse canonical correlation analysis
• Multivariate analysis and Jacobi ensembles: largest eigenvalue, Tracy-Widom limits and rates of convergence
• The largest eigenvalues of finite rank deformation of large Wigner matrices: Convergence and nonuniversality of the fluctuations
• The limiting empirical measure of multiple discriminant ratios
• No eigenvalues outside the support of the limiting spectral distribution of large-dimensional sample covariance matrices
• Level-spacing distributions and the Airy kernel
• Sparse CCA: adaptive estimation and computational barriers
• Singularities of the density of states of random Gram matrices
• High-dimensional asymptotic distributions of characteristic roots in multivariate linear models and canonical correlation analysis
• Canonical correlation coefficients of high-dimensional Gaussian vectors: finite rank case
• A unified matrix model including both CCA and F matrices in multivariate analysis: the largest eigenvalue and its applications
• On the distribution of the largest eigenvalue in principal components analysis
• On orthogonal and symplectic matrix ensembles
• The spectrum edge of random matrix ensembles.
• Spiked separable covariance matrices and principal components
• Edge statistics of large dimensional deformed rectangular matrices
• Limiting distribution of the sample canonical correlation coefficients of high-dimensional random vectors
• Testing in high-dimensional spiked models
• Edge universality of separable covariance matrices
• Independence test for high dimensional data based on regularized canonical correlation coefficients
• Local circular law for the product of a deterministic matrix with a random matrix
• Central limit theorems for eigenvalues of deformations of Wigner matrices
• Isotropic local laws for sample covariance and generalized Wigner matrices
• The largest eigenvalue of rank one deformation of large Wigner matrices
• Eigenvalues of large sample covariance matrices of spiked population models
• Phase transition of the largest eigenvalue for nonnull complex sample covariance matrices
• On the principal components of sample covariance matrices
• The Isotropic Semicircle Law and Deformation of Wigner Matrices
• The largest eigenvalues of sample covariance matrices for a spiked population: Diagonal case
• How to Reduce Dimension With PCA and Random Projections?
• Asymptotic null and non-null distributions of test statistics for redundancy in high-dimensional canonical correlation analysis
• RELATIONS BETWEEN TWO SETS OF VARIATES
• Sample canonical correlation coefficients of high-dimensional random vectors: Local law and Tracy–Widom limit

This page was built for publication: Sample canonical correlation coefficients of high-dimensional random vectors with finite rank correlations