A unified matrix model including both CCA and F matrices in multivariate analysis: the largest eigenvalue and its applications

DOI10.3150/17-BEJ965zbMath1407.60008arXiv1606.04417OpenAlexW2963490068MaRDI QIDQ1750089

Qing Yang, Guangming Pan, Xiao Han

Publication date: 18 May 2018

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1606.04417

zbMATH Keywords

canonical correlation analysislargest eigenvaluerandom matrix theorymultivariate linear modelTracy-Widom distributionMANOVAF matrix

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Measures of association (correlation, canonical correlation, etc.) (62H20) Random matrices (probabilistic aspects) (60B20) Random matrices (algebraic aspects) (15B52)

Related Items (9)

Cointegration in large VARs ⋮ Sample canonical correlation coefficients of high-dimensional random vectors: Local law and Tracy–Widom limit ⋮ Sample canonical correlation coefficients of high-dimensional random vectors with finite rank correlations ⋮ Convergence rate to the Tracy-Widom laws for the largest eigenvalue of sample covariance matrices ⋮ Tracy-Widom law for the extreme eigenvalues of large signal-plus-noise matrices ⋮ Order determination for spiked-type models with a divergent number of spikes ⋮ Canonical correlation coefficients of high-dimensional Gaussian vectors: finite rank case ⋮ Limiting laws for extreme eigenvalues of large-dimensional spiked Fisher matrices with a divergent number of spikes ⋮ Limiting distribution of the sample canonical correlation coefficients of high-dimensional random vectors

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