Logarithmic law of large random correlation matrices

Consider a random vector , where the elements of the vector are i.i.d. real-valued random variables with zero mean and finite fourth moment, and is a deterministic matrix such that the spectral norm of the population correlation matrix of is uniformly bounded. In this paper, we find that the log determinant of the sample correlation matrix based on a sample of size from the distribution of satisfies a CLT (central limit theorem) for and . Explicit formulas for the asymptotic mean and variance are provided. In case the mean of is unknown, we show that after recentering by the empirical mean the obtained CLT holds with a shift in the asymptotic mean. This result is of independent interest in both large dimensional random matrix theory and high-dimensional statistical literature of large sample correlation matrices for non-normal data. At last, the obtained findings are applied for testing of uncorrelatedness of random variables. Surprisingly, in the null case , the test statistic becomes completely pivotal and the extensive simulations show that the obtained CLT also holds if the moments of order four do not exist at all, which conjectures a promising and robust test statistic for heavy-tailed high-dimensional data.
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