Year: 2017
Type: preprint
Abstract: In this paper, we consider an estimation problem concerning the matrix of correlation coefficients in context of high dimensional data settings. In particular, we revisit some results in Li and Rolsalsky [Li, D. and Rolsalsky, A. (2006). Some strong limit theorems for the largest entries of sample correlation matrices, The Annals of Applied Probability, 16, 1, 423-447]. Four of the main theorems of Li and Rolsalsky (2006) are established in their full generalities and we simplify substantially some proofs of the quoted paper. Further, we generalize a theorem which is useful in deriving the existence of the pth moment as well as in studying the convergence rates in law of large numbers.
Source: arXiv (Cornell University)
Authors: Nkurunziza, Sévérien, Wang, Yueleng
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W2641687137