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Communication Dans Un Congrès Année : 2020

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

Résumé

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.
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Dates et versions

hal-04328050 , version 1 (06-12-2023)

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Citer

Daria Tieplova, Philippe Loubaton, Leonid Pastur. On the Limit Distribution of the Canonical Correlation Coefficients Between the Past and the Future of a High-Dimensional White Noise. ICASSP 2020 - 2020 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP), May 2020, Barcelona, Spain. pp.8772-8776, ⟨10.1109/ICASSP40776.2020.9053626⟩. ⟨hal-04328050⟩
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