On the Limit Distribution of the Canonical Correlation Coefficients Between the Past and the Future of a High-Dimensional White Noise

Autor:	D. Tieplova, Philippe Loubaton, Leonid Pastur
Rok vydání:	2020
Předmět:	Multivariate statistics Sequence Distribution (number theory) 010102 general mathematics Context (language use) White noise Free probability 01 natural sciences 010104 statistics & probability Almost surely Statistical physics 0101 mathematics Canonical correlation Mathematics
Zdroj:	ICASSP
Popis:	It is shown that the distribution of the estimated canonical correlation coefficients between the past and the future of a high-dimensional multivariate white noise sequence converges almost surely towards a limit distribution whose density is given in closed form. A sketch of proof, based on free probability technics, is provided. Finally, it is briefly explained how this result can be used to produce consistent uncorrelatedness tests in the high-dimensional context.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::f40653d64092cf6113c7c89987fd4d17 https://doi.org/10.1109/icassp40776.2020.9053626 Zobrazit plný text záznamu