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Logarithmic law of ...
Logarithmic law of large random correlation matrices
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Parolya, Nestor (author)
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- Heiny, Johannes, 1989- (author)
- Stockholms universitet,Matematiska institutionen
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Kurowicka, Dorota (author)
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(creator_code:org_t)
- 2024
- 2024
- English.
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In: Bernoulli. - 1350-7265 .- 1573-9759. ; 30:1, s. 346-370
- Related links:
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https://urn.kb.se/re...
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https://doi.org/10.3...
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Abstract
Subject headings
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- Consider a random vector y=Σ1∕2x, where the p elements of the vector x are i.i.d. real-valued random variables with zero mean and finite fourth moment, and Σ1∕2 is a deterministic p×p matrix such that the eigenvalues of the population correlation matrix R of y are uniformly bounded away from zero and infinity. In this paper, we find that the log determinant of the sample correlation matrix based on a sample of size n from the distribution of y satisfies a CLT (central limit theorem) for p∕n→γ∈(0,1] and p≤n. Explicit formulas for the asymptotic mean and variance are provided. In case the mean of y is unknown, we show that after re-centering by the empirical mean the obtained CLT holds with a shift in the asymptotic mean. This result is of independent interest in both large dimensional random matrix theory and high-dimensional statistical literature of large sample correlation matrices for non-normal data. Finally, the obtained findings are applied for testing of uncorrelatedness of p random variables. Surprisingly, in the null case R=I, the test statistic becomes distribution-free and the extensive simulations show that the obtained CLT also holds if the moments of order four do not exist at all, which conjectures a promising and robust test statistic for heavy-tailed high-dimensional data.
Subject headings
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
Keyword
- CLT
- dependent data
- large-dimensional asymptotic
- log determinant
- random matrix theory
- sample correlation matrix
Publication and Content Type
- ref (subject category)
- art (subject category)
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