The paper studies the limiting distribution of the largest off-diagonal entry of the sample correlation matrices of high-dimensional Gaussian populations with equi-correlation structure. Assume the ...

Investment would be much simpler if the way that markets reacted to any given event was completely predictable. Correlation is a simple measure of the extent to which two assets tend to move together: ...

Testing correlation structures has attracted extensive attention in the literature due to both its importance in real applications and several major theoretical challenges. The aim of this paper is to ...

A second-order confirmatory factor analysis model is applied to a correlation matrix of Thurstone reported by McDonald (1985). Using the LINEQS statement, the three-term second-order factor analysis ...