Largest entries of sample correlation matrices from equi-correlated normal populations

DOI10.1214/19-AOP1341zbMath1435.62077MaRDI QIDQ2280559

Tiefeng Jiang, Jianqing Fan

Publication date: 18 December 2019

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

Full work available at URL: https://projecteuclid.org/euclid.aop/1571731453

zbMATH Keywords

phase transitionGumbel distributionmultivariate normal distributionChen-Stein Poisson approximationmaximum sample correlation

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Central limit and other weak theorems (60F05) Statistics of extreme values; tail inference (62G32)

Related Items (8)

CORRELATION MATRIX OF EQUI-CORRELATED NORMAL POPULATION: FLUCTUATION OF THE LARGEST EIGENVALUE, SCALING OF THE BULK EIGENVALUES, AND STOCK MARKET ⋮ Strong limit theorem for largest entry of large-dimensional random tensor ⋮ Limiting behavior of largest entry of random tensor constructed by high-dimensional data ⋮ Asymptotic distribution of the maximum interpoint distance for high-dimensional data ⋮ Large sample correlation matrices: a comparison theorem and its applications ⋮ The asymptotic distributions of the largest entries of sample correlation matrices under an \(\alpha\)-mixing assumption ⋮ On the asymptotic distribution of the maximum sample spectral coherence of Gaussian time series in the high dimensional regime ⋮ A Dichotomous Behavior of Guttman-Kaiser Criterion from Equi-Correlated Normal Population

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