ICASSP 2020accepted0 citations
On the Limit Distribution of the Canonical Correlation Coefficients Between the Past and the Future of a High-Dimensional White Noise
Daria Tieplova, Philippe Loubaton, Leonid Pastur
Abstract
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.
BibTeX
@inproceedings{icassp2020_onthelimitdistri,
title = {On the Limit Distribution of the Canonical Correlation Coefficients Between the Past and the Future of a High-Dimensional White Noise},
author = {Daria Tieplova and Philippe Loubaton and Leonid Pastur},
booktitle = {ICASSP 2020},
year = {2020}
}