Orateur
Marguerite Zani
(Université d'Orléans)
Description
We study the $\tau$-coherence of a $(n \times p)$-observation matrix in a Gaussian framework where both $n$ and $p$ are large and $p>>n$.
The $\tau$-coherence is defined as the largest magnitude, outside a band of size $\tau=\tau(n)$, of the empirical correlation coefficients associated to the observations.
Using the Chen-Stein method we show the convergence of the normalized coherence towards a Gumbel distribution. We broaden previous results by considering a 3-regime band structure for the off diagonal covariance matrix. We introduce an hypothese test for the covariance structure where we study the behaviour under some identifiable alternative.
Author
Marguerite Zani
(Université d'Orléans)
Co-auteurs
Didier Chauveau
(Université d'Orléans)
Maxime Boucher
(Université Libre de Bruxelles)
