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

Zhigang Bao, Jiang Hu, Guangming Pan +1

Consider a normal vector $\mathbf{z}=({\mathbf{x}}^{\prime },{\mathbf{y}}^{\prime }{)}^{\prime }$, consisting of two sub-vectors $\mathbf{x}$ and $\mathbf{y}$ with dimensions $p$ and $q$ respectively. With $n$ ind…