Canonical correlation coefficients of high-dimensional Gaussian vectors: finite rank case

DOI10.1214/18-AOS1704zbMath1416.62313arXiv1704.02408OpenAlexW2963456680MaRDI QIDQ1731774

Guangming Pan, Wang Zhou, Zhigang Bao, Jiang Hu

Publication date: 14 March 2019

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1704.02408

zbMATH Keywords

random matricescanonical correlation analysishigh-dimensional datalargest eigenvaluesensemblesfinite rank perturbationMANOVA ensemble

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Random matrices (probabilistic aspects) (60B20) Random matrices (algebraic aspects) (15B52) Analysis of variance and covariance (ANOVA) (62J10)

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