Conjecture on the global-null correlation maximum bound

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Let fn(x)f_n(x) be the density of n∣Sij∣\sqrt{n}|S_{ij}|, let Fˉn(x)=∫xnfn(x)\bar{F}_n(x)=\int_x^{\sqrt{n}}f_n(x), and let Gn,p(x)G_{n,p}(x) be the cumulative distribution function of the maximum of an independent p×pp\times p correlation matrix based on nn observed pp-vectors, scaled by n\sqrt{n}. Global-null correlation maximum conjecture. For fixed kk,

∫0(4−2k+2)log⁡pGn,p(x)Fˉnk−1(x)fn(x) dx=o(1p2k).\int_0^{\sqrt{\left(4-\frac{2}{k+2}\right)\log p}}G_{n,p}(x)\bar{F}_n^{k-1}(x)f_n(x)\,dx=o\left(\frac{1}{p^{2k}}\right).

This conjecture is the technical bound needed to apply the correlation-limit approximation when controlling the probability that kk independent correlations exceed the maximum correlation of a large correlation matrix. The paper states that it is needed to prove the asymptotic exponential law Tk→dExp⁡(1/k)T_k\stackrel{d}{\rightarrow}\operatorname{Exp}(1/k) under the global null, but reports that it has not yet been proved.

References

Primary source

Max Grazier G'Sell, Jonathan Taylor and Robert Tibshirani, “Adaptive testing for the graphical lasso”, arXiv:1307.4765 (2013).

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