Related papers: Canonical correlation coefficients of high-dimensi…

When Gaussian copula with linear correlation coefficient is used to model correlated random variables, one crucial issue is to determine a suitable correlation coefficient $\rho_z$ in normal space for two variables with correlation…

The relation between Pearson's correlation coefficient and Salton's cosine measure is revealed based on the different possible values of the division of the L1-norm and the L2-norm of a vector. These different values yield a sheaf of…

The determinant of a skew-symmetric matrix has a canonical square root given by the Pfaffian. Similarly, the resultant of two reciprocal polynomials of even degree has a canonical square root given by their reciprocant. Computing the…

Let $X$ be a centered random vector taking values in $\mathbb{R}^d$ and let $\Sigma= \mathbb{E}(X\otimes X)$ be its covariance matrix. We show that if $X$ satisfies an $L_4-L_2$ norm equivalence, there is a covariance estimator…

This paper introduces a new framework to study the asymptotical behavior of the empirical distribution function (e.d.f.) of Gaussian vector components, whose correlation matrix $\Gamma^{(m)}$ is dimension-dependent. Hence, by contrast with…

We consider pairs of GOE (Gaussian Orthogonal Ensemble) matrices which are correlated with each others, and subject to additive and multiplicative rank-one perturbations. We focus on the regime of parameters in which the finite-rank…

Let $G$ be a finite group. For each $m>1$ we define the symmetric canonical subset $S=S(m)$ of the Cartesian power $G^m$ and we consider the family of Cayley graphs $\mathscr{G}_m(G)=Cay(G^m,S)$. We describe properties of these graphs and…

We consider the eigenvectors of the principal minor of dimension $n< N$ of the Dyson Brownian motion in $\mathbb{R}^{N}$ and investigate their asymptotic overlaps with the eigenvectors of the full matrix in the limit of large dimension. We…

Let $Z_1,\ldots,Z_n$ be i.i.d. isotropic random vectors in $\mathbb{R}^p$, and $T \subset \mathbb{R}^p$ be a compact set. A classical line of empirical process theory characterizes the size of the suprema of the quadratic process…

Consider a two-class classification problem where we observe samples $(X_i, Y_i)$ for i = 1, ..., n, $X_i \in R^p$ and $Y_i$ in {0, 1}. Given $Y_i = k$, $X_i$ is assumed to follow a multivariate normal distribution with mean $\mu_k \in R^k$…

It is well known that the ratio of two independent standard Gaussian random variables follows a Cauchy distribution. Any convex combination of independent standard Cauchy random variables also follows a Cauchy distribution. In a recent…

We conduct a study of graphical models and discuss the quality of model selection approximation by formulating the problem as a detection problem and examining the area under the curve (AUC). We are specifically looking at the model…

We compute the asymptotic empirical eigenvalue distribution of the matrix $M = \bigodot_{i=1}^k \frac{1}{d_i}X^{(i)}{X^{(i)}}^\top$ where $X^{(i)}\in\mathbb{R}^{n\times d_i}$ are independent matrices with independent rows but general…

Kendall rank correlation coefficient is used to measure the ordinal association between two measurements. In this paper, we introduce the Concordance coefficient as a generalization of the Kendall rank correlation, and illustrate its use to…

We study cubic surfaces as symmetric tensors of format $4 \times 4 \times 4$. We consider the non-symmetric tensor rank and the symmetric Waring rank of cubic surfaces, and show that the two notions coincide over the complex numbers. The…

The Sombor index of a graph $G$ was recently introduced by Gutman from the geometric point of view, defined as $SO(G)=\sum_{uv\in E(G)}\sqrt{d(u)^2+d(v)^2}$, where $d(u)$ is the degree of a vertex $u$. For two real numbers $\alpha$ and…

Canonical correlation analysis (CCA) is a standard tool for studying associations between two data sources; however, it is not designed for data with count or proportion measurement types. In addition, while CCA uncovers common signals, it…

We quantify the large deviations of Gaussian extreme value statistics on closed convex sets in d-dimensional Euclidean space. The asymptotics imply that the extreme value distribution exhibits a rate function that is a simple quadratic…

Chatterjee's rank correlation coefficient $\xi_n$ is an empirical index for detecting functional dependencies between two variables $X$ and $Y$. It is an estimator for a theoretical quantity $\xi$ that is zero for independence and one if…

Consider a sample of a centered random vector with unit covariance matrix. We show that under certain regularity assumptions, and up to a natural scaling, the smallest and the largest eigenvalues of the empirical covariance matrix converge,…