<p>We establish finite-step probabilistic upper bounds for the contraction ratios represented by <InlineEquation ID="IEq1"><EquationSource Format="MATHML"><math><msub><mi>ρ</mi><mi>k</mi></msub><mo>=</mo><msub><mi mathvariant="normal">Δ</mi><mrow><mi>k</mi><mo>+</mo><mn>1</mn></mrow></msub><mo stretchy="false">/</mo><msub><mi mathvariant="normal">Δ</mi><mi>k</mi></msub></math></EquationSource><EquationSource Format="TEX">$\rho _{k} = \Delta _{k+1}/\Delta _{k}$</EquationSource></InlineEquation> arising in iterated Pearson row–row correlation dynamics. Let <InlineEquation ID="IEq2"><EquationSource Format="MATHML"><math><msub><mrow><mo stretchy="false">(</mo><msub><mi>P</mi><mi>k</mi></msub><mo stretchy="false">)</mo></mrow><mrow><mi>k</mi><mo>≥</mo><mn>0</mn></mrow></msub></math></EquationSource><EquationSource Format="TEX">$(P_{k})_{k\ge 0}$</EquationSource></InlineEquation> denote the sequence generated by the Pearson correlation update, with increments <InlineEquation ID="IEq3"><EquationSource Format="MATHML"><math><msub><mi mathvariant="normal">Δ</mi><mi>k</mi></msub><mo>:</mo><mo>=</mo><msub><mrow><mo stretchy="false">∥</mo><msub><mi>P</mi><mrow><mi>k</mi><mo>+</mo><mn>1</mn></mrow></msub><mo>−</mo><msub><mi>P</mi><mi>k</mi></msub><mo stretchy="false">∥</mo></mrow><mi>F</mi></msub></math></EquationSource><EquationSource Format="TEX">$\Delta _{k} := \|P_{k+1}-P_{k}\|_{F}$</EquationSource></InlineEquation>, ratios <InlineEquation ID="IEq4"><EquationSource Format="MATHML"><math><msub><mi>ρ</mi><mi>k</mi></msub><mo>:</mo><mo>=</mo><msub><mi mathvariant="normal">Δ</mi><mrow><mi>k</mi><mo>+</mo><mn>1</mn></mrow></msub><mo stretchy="false">/</mo><msub><mi mathvariant="normal">Δ</mi><mi>k</mi></msub></math></EquationSource><EquationSource Format="TEX">$\rho _{k} := \Delta _{k+1}/\Delta _{k}$</EquationSource></InlineEquation> <InlineEquation ID="IEq5"><EquationSource Format="MATHML"><math><mo stretchy="false">(</mo><msub><mi mathvariant="normal">Δ</mi><mi>k</mi></msub><mo>&gt;</mo><mn>0</mn><mo stretchy="false">)</mo></math></EquationSource><EquationSource Format="TEX">$(\Delta _{k}&gt;0)$</EquationSource></InlineEquation>, and normalized step size <InlineEquation ID="IEq6"><EquationSource Format="MATHML"><math><msub><mi>δ</mi><mi>k</mi></msub><mo>:</mo><mo>=</mo><msub><mi mathvariant="normal">Δ</mi><mi>k</mi></msub><mo stretchy="false">/</mo><mi>n</mi></math></EquationSource><EquationSource Format="TEX">$\delta _{k} := \Delta _{k}/n$</EquationSource></InlineEquation>. Although <InlineEquation ID="IEq7"><EquationSource Format="MATHML"><math><msub><mi mathvariant="normal">Δ</mi><mi>k</mi></msub><mo stretchy="false">→</mo><mn>0</mn></math></EquationSource><EquationSource Format="TEX">$\Delta _{k}\to 0$</EquationSource></InlineEquation> along convergent trajectories, finite-step ratios may exceed unity, a phenomenon not captured by local linearization analyses.</p><p>For fixed matrix dimension <i>n</i> and under the probability measure <InlineEquation ID="IEq8"><EquationSource Format="MATHML"><math><mi mathvariant="double-struck">P</mi></math></EquationSource><EquationSource Format="TEX">$\mathbb{P}$</EquationSource></InlineEquation> induced by random initialization of <InlineEquation ID="IEq9"><EquationSource Format="MATHML"><math><msub><mi>P</mi><mn>0</mn></msub></math></EquationSource><EquationSource Format="TEX">$P_{0}$</EquationSource></InlineEquation> with independent and identically distributed uniform <InlineEquation ID="IEq10"><EquationSource Format="MATHML"><math><mo stretchy="false">[</mo><mo>−</mo><mn>1</mn><mo>,</mo><mn>1</mn><mo stretchy="false">]</mo></math></EquationSource><EquationSource Format="TEX">$[-1,1]$</EquationSource></InlineEquation> entries, we construct explicit state-dependent bounds <InlineEquation ID="IEq11"><EquationSource Format="MATHML"><math><msub><mi>B</mi><mi>p</mi></msub><mo>:</mo><msub><mi mathvariant="double-struck">R</mi><mo>+</mo></msub><mo stretchy="false">→</mo><msub><mi mathvariant="double-struck">R</mi><mo>+</mo></msub></math></EquationSource><EquationSource Format="TEX">$B_{p}:\mathbb{R}_{+}\to \mathbb{R}_{+}$</EquationSource></InlineEquation> in the post-transient regime <InlineEquation ID="IEq12"><EquationSource Format="MATHML"><math><mi>k</mi><mo>≥</mo><mn>2</mn></math></EquationSource><EquationSource Format="TEX">$k\ge 2$</EquationSource></InlineEquation>. These bounds are piecewise-constant functions <InlineEquation ID="IEq13"><EquationSource Format="MATHML"><math><msubsup><mi>B</mi><mi>p</mi><mi mathvariant="normal">q</mi></msubsup><mo stretchy="false">(</mo><mi>δ</mi><mo stretchy="false">)</mo></math></EquationSource><EquationSource Format="TEX">$B^{\mathrm{q}}_{p}(\delta )$</EquationSource></InlineEquation> obtained as empirical conditional <i>p</i>-quantiles of <InlineEquation ID="IEq14"><EquationSource Format="MATHML"><math><mo>log</mo><msub><mi>ρ</mi><mi>k</mi></msub></math></EquationSource><EquationSource Format="TEX">$\log \rho _{k}$</EquationSource></InlineEquation> given <InlineEquation ID="IEq15"><EquationSource Format="MATHML"><math><msub><mi>δ</mi><mi>k</mi></msub></math></EquationSource><EquationSource Format="TEX">$\delta _{k}$</EquationSource></InlineEquation> under logarithmic binning. Deterministic enlargements are introduced via uniform multiplicative adjustments, yielding pointwise larger families while preserving the learned <i>δ</i>-dependence.</p><p>Independent validation confirms that the constructed bounds satisfy <InlineEquation ID="IEq16"><EquationSource Format="MATHML"><math><mi mathvariant="double-struck">P</mi><mo stretchy="false">(</mo><mi>ρ</mi><mo>≤</mo><msub><mi>B</mi><mi>p</mi></msub><mo stretchy="false">(</mo><mi>δ</mi><mo stretchy="false">)</mo><mo stretchy="false">)</mo><mo>≥</mo><mi>p</mi></math></EquationSource><EquationSource Format="TEX">$\mathbb{P}(\rho \le B_{p}(\delta )) \ge p$</EquationSource></InlineEquation> with empirical coverage matching nominal levels across <InlineEquation ID="IEq17"><EquationSource Format="MATHML"><math><mi>n</mi><mo>∈</mo><mo stretchy="false">[</mo><mn>3</mn><mo>,</mo><mn>2000</mn><mo stretchy="false">]</mo></math></EquationSource><EquationSource Format="TEX">$n\in [3,2000]$</EquationSource></InlineEquation>. Analysis of the baseline empirical 0.95-quantile bound shows <InlineEquation ID="IEq18"><EquationSource Format="MATHML"><math><mi mathvariant="double-struck">P</mi><mo stretchy="false">(</mo><mi>ρ</mi><mo>≤</mo><mn>1</mn><mo stretchy="false">∣</mo><mi>δ</mi><mo>≤</mo><mn>0.03</mn><mo stretchy="false">)</mo><mo>≥</mo><mn>0.95</mn></math></EquationSource><EquationSource Format="TEX">$\mathbb{P}(\rho \le 1 \mid \delta \le 0.03) \ge 0.95$</EquationSource></InlineEquation> for all tested dimensions, and <InlineEquation ID="IEq19"><EquationSource Format="MATHML"><math><mi mathvariant="double-struck">P</mi><mo stretchy="false">(</mo><mi>ρ</mi><mo>≤</mo><mn>1.7</mn><mo stretchy="false">)</mo><mo>≥</mo><mn>0.95</mn></math></EquationSource><EquationSource Format="TEX">$\mathbb{P}(\rho \le 1.7) \ge 0.95$</EquationSource></InlineEquation> for 21 of 22 dimensions. These results provide the first finite-step probabilistic control for this nonlinear normalization map.</p>

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Finite-step bounds for iterated correlation matrices

  • Ishrak Alhajj Hassan

摘要

We establish finite-step probabilistic upper bounds for the contraction ratios represented by ρk=Δk+1/Δk$\rho _{k} = \Delta _{k+1}/\Delta _{k}$ arising in iterated Pearson row–row correlation dynamics. Let (Pk)k0$(P_{k})_{k\ge 0}$ denote the sequence generated by the Pearson correlation update, with increments Δk:=Pk+1PkF$\Delta _{k} := \|P_{k+1}-P_{k}\|_{F}$, ratios ρk:=Δk+1/Δk$\rho _{k} := \Delta _{k+1}/\Delta _{k}$ (Δk>0)$(\Delta _{k}>0)$, and normalized step size δk:=Δk/n$\delta _{k} := \Delta _{k}/n$. Although Δk0$\Delta _{k}\to 0$ along convergent trajectories, finite-step ratios may exceed unity, a phenomenon not captured by local linearization analyses.

For fixed matrix dimension n and under the probability measure P$\mathbb{P}$ induced by random initialization of P0$P_{0}$ with independent and identically distributed uniform [1,1]$[-1,1]$ entries, we construct explicit state-dependent bounds Bp:R+R+$B_{p}:\mathbb{R}_{+}\to \mathbb{R}_{+}$ in the post-transient regime k2$k\ge 2$. These bounds are piecewise-constant functions Bpq(δ)$B^{\mathrm{q}}_{p}(\delta )$ obtained as empirical conditional p-quantiles of logρk$\log \rho _{k}$ given δk$\delta _{k}$ under logarithmic binning. Deterministic enlargements are introduced via uniform multiplicative adjustments, yielding pointwise larger families while preserving the learned δ-dependence.

Independent validation confirms that the constructed bounds satisfy P(ρBp(δ))p$\mathbb{P}(\rho \le B_{p}(\delta )) \ge p$ with empirical coverage matching nominal levels across n[3,2000]$n\in [3,2000]$. Analysis of the baseline empirical 0.95-quantile bound shows P(ρ1δ0.03)0.95$\mathbb{P}(\rho \le 1 \mid \delta \le 0.03) \ge 0.95$ for all tested dimensions, and P(ρ1.7)0.95$\mathbb{P}(\rho \le 1.7) \ge 0.95$ for 21 of 22 dimensions. These results provide the first finite-step probabilistic control for this nonlinear normalization map.