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It is shown that the distribution of the estimated canonical correlation coefficients between the past and the future of a high-dimensional multivariate white noise sequence converges almost surely towards a limit distribution whose density is given in cl
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On The Limit Distribution Of The Canonical Correlation Coefficients Between The Past And The Future Of A High-Dimensional White Noise
It is shown that the distribution of the estimated canonical correlation coefficients between the past and the future of a high-dimensional multivariate white noise sequence converges almost surely towards a limit distribution whose density is given in cl