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

Deli Li Yongcheng Qi Andrew Rosalsky

Published in: J. Multivar. Anal. (2012)

Keyphrases

correlation matrix
large deviations
covariance matrix
laplace transform
random matrix theory
probability distribution
singular value decomposition
signal subspace
sample set
machine learning
feature vectors
sample size