Resumen de Asymptotic distribution of the largest off-diagonal entry of correlation matrices
Suppose that we have observations from a -dimensional population. We are interested in testing that the variates of the population are independent under the situation where goes to infinity as . A test statistic is chosen to be , where is the sample correlation coefficient between the -th coordinate and the -th coordinate of the population. Under an independent hypothesis, we prove that the asymptotic distribution of is an extreme distribution of type , by using the Chen-Stein Poisson approximation method and the moderate deviations for sample correlation coefficients. As a statistically more relevant result, a limit distribution for , where is Spearman's rank correlation coefficient between the -th coordinate and the -th coordinate of the population, is derived
