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math.PR2021★ 8 cited
Sample canonical correlation coefficients of high-dimensional random vectors with finite rank correlations
Zongming Ma, Fan Yang
Consider two random vectors and of the forms $\widetilde{\mathbf x}=A\mathbf z+\mathbf C_1^{1/2}\mat…
math.PR2011★ 39 cited
Fast approach to the Tracy-Widom law at the edge of GOE and GUE
Iain M. Johnstone, Zongming Ma
We study the rate of convergence for the largest eigenvalue distributions in the Gaussian unitary and orthogonal ensembles to their Tracy-Widom limits. We show that one can achieve…