Limit Properties of the Largest Entries of High-Dimensional Sample Covariance and Correlation Matrices
Keyword(s):
In this paper, we consider the limit properties of the largest entries of sample covariance matrices and the sample correlation matrices. In order to make the statistics based on the largest entries of the sample covariance matrices and the sample correlation matrices more applicable in high-dimensional tests, the identically distributed assumption of population is removed. Under some moment’s assumption of the underlying distribution, we obtain that the almost surely limit and asymptotical distribution of the extreme statistics as both the dimension p and sample size n tend to infinity.
2019 ◽
Vol 09
(02)
◽
pp. 2050005
Keyword(s):
2011 ◽
Vol 102
(10)
◽
pp. 1388-1398
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