Conjecture on the global-null correlation maximum bound
Let be the density of , let , and let be the cumulative distribution function of the maximum of an independent correlation matrix based on observed -vectors, scaled by . Global-null correlation maximum conjecture. For fixed ,
This conjecture is the technical bound needed to apply the correlation-limit approximation when controlling the probability that independent correlations exceed the maximum correlation of a large correlation matrix. The paper states that it is needed to prove the asymptotic exponential law 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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