• Corpus ID: 231839790

Sample canonical correlation coefficients of high-dimensional random vectors with finite rank correlations

@inproceedings{Ma2021SampleCC,
  title={Sample canonical correlation coefficients of high-dimensional random vectors with finite rank correlations},
  author={Zongming Ma and Fan Yang},
  year={2021}
}
Consider two random vectors r x “ A z ` C 1 { 2 1 x P R p and r y “ B z ` C 1 { 2 2 y P R q , where x P R p , y P R q and z P R r are independent random vectors with i.i.d. entries of zero mean and unit variance, C 1 and C 2 are p ˆ p and q ˆ q deterministic population covariance matrices, and A and B are p ˆ r and q ˆ r deterministic factor loading matrices. With n independent observations of r x and r y , we study the sample canonical correlations between them. Under the sharp fourth moment… 

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