Spatial-sign covariance based sparse CCA is consistent for elliptical symmetric distributions at a rate that depends on sparsity, with the dimension entering only through a bias term.
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High Dimensional Sparse Canonical Correlation Analysis for Elliptical Symmetric Distributions
Spatial-sign covariance based sparse CCA is consistent for elliptical symmetric distributions at a rate that depends on sparsity, with the dimension entering only through a bias term.