Sample canonical correlation coefficients of high-dimensional random vectors: Local law and Tracy–Widom limit

DOI10.1142/s2010326322500071zbMath1526.60011arXiv2002.09643MaRDI QIDQ6063733

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Publication date: 8 November 2023

Published in: Random Matrices: Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2002.09643

zbMATH Keywords

canonical correlation analysislocal lawTracy-Widom law

Mathematics Subject Classification ID

Multivariate analysis (62H99) Asymptotic distribution theory in statistics (62E20) Random matrices (probabilistic aspects) (60B20)

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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, Limiting spectral distribution of high-dimensional noncentral Fisher matrices and its analysis, Limiting distribution of the sample canonical correlation coefficients of high-dimensional random vectors

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