Canonical correlation coefficients of high-dimensional normal vectors: finite rank case

Consider a normal vector $\mathbf{z}=(\mathbf{x}',\mathbf{y}')'$, consisting of two sub-vectors $\mathbf{x}$ and $\mathbf{y}$ with dimensions $p$ and $q$ respectively. With $n$ independent observations of $\mathbf{z}$ at hand, we study the correlation between $\mathbf{x}$ and $\mathbf{y}$, from the perspective of the Canonical Correlation Analysis, under the high-dimensional setting: both $p$ and $q$ are proportional to the sample size $n$. In this paper, we focus on the case that $Σ_{\mathbf{x}\mathbf{y}}$ is of finite rank $k$, i.e. there are $k$ nonzero canonical correlation coefficients, whose squares are denoted by $r_1\geq\cdots\geq r_k>0$. Under the additional assumptions $(p+q)/n\to y\in (0,1)$ and $p/q\not\to 1$, we study the sample counterparts of $r_i,i=1,\ldots,k$, i.e. the largest k eigenvalues of the sample canonical correlation matrix $S_{\mathbf{x}\mathbf{x}}^{-1}S_{\mathbf{x}\mathbf{y}}S_{\mathbf{y}\mathbf{y}}^{-1}S_{\mathbf{y}\mathbf{x}}$, namely $λ_1\geq\cdots\geq λ_k$. We show that there exists a threshold $r_c\in(0,1)$, such that for each $i\in\{1,\ldots,k\}$, when $r_i\leq r_c$, $λ_i$ converges almost surely to the right edge of the limiting spectral distribution of the sample canonical correlation matrix, denoted by $d_r$. When $r_i>r_c$, $λ_i$ possesses an almost sure limit in $(d_r,1]$, from which we can recover $r_i$ in turn, thus provide an estimate of the latter in the high-dimensional scenario.

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