Sample canonical correlation coefficients of high-dimensional random vectors with finite rank correlations

Zongming Ma, Fan Yang

Consider two random vectors $\tilde{\mathbf{x}}\in {\mathbb{R}}^p$ and $\tilde{\mathbf{y}}\in {\mathbb{R}}^q$ of the forms $\widetilde{\mathbf x}=A\mathbf z+\mathbf C_1^{1/2}\mat…