Extreme eigenvalues of nonlinear correlation matrices with applications to additive models

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:150

Article

Guo, Zijian¹  Zhang, Cun-Hui¹ 

[1] Rutgers State Univ, New Brunswick, NJ 08901 USA

关键词: Nonlinear correlation;    Extreme eigenvalue;    Gaussian copula;    Restricted eigenvalue;    Compatibility condition;    Additive model;   

DOI  :  10.1016/j.spa.2021.04.006

来源: Elsevier

【 摘 要 】

The maximum correlation of functions of a pair of random variables is an important measure of stochastic dependence. It is known that this maximum nonlinear correlation is identical to the absolute value of the Pearson correlation for a pair of Gaussian random variables or a pair of finite sums of iid random variables. This paper extends these results to pairwise Gaussian vectors and processes, nested sums of iid random variables, and permutation symmetric functions of sub-groups of iid random variables. It also discusses applications to additive regression models. (c) 2021 Elsevier B.V. All rights reserved.

【 授权许可】

Free