On Jiang’s asymptotic distribution of the largest entry of a sample correlation matrix

Deli Li, Yongcheng Qi and Andrew Rosalsky

Journal of Multivariate Analysis, 2012, vol. 111, issue C, 256-270

Abstract: Let {X,Xk,i;i≥1,k≥1} be a double array of nondegenerate i.i.d. random variables and let {pn;n≥1} be a sequence of positive integers such that n/pn is bounded away from 0 and ∞. This paper is devoted to the solution to an open problem posed in Li et al. (2010) [9] on the asymptotic distribution of the largest entry Ln=max1≤iKeywords: Asymptotic distribution; Largest entries of sample correlation matrices; Law of the logarithm; Pearson correlation coefficient; Second moment problem (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1016/j.jmva.2012.04.002

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