Tracy-Widom limit for Kendall's tau (Q2284382)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 7151069
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Tracy-Widom limit for Kendall's tau |
scientific article; zbMATH DE number 7151069 |
Statements
Tracy-Widom limit for Kendall's tau (English)
0 references
15 January 2020
0 references
In this work the Tracy-Widom law for the Kendall rank correlation matrix has been obtained. The Kendall rank correlation matrix is a multivariate U-statistic. The method developed in this paper, to a certain extent, has potential applications to other high-dimensional U-statistics.
0 references
Tracy-Widom law
0 references
largest eigenvalue
0 references
nonparametric statistics
0 references
U-statistics
0 references
random matrices
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.8472962975502014
0 references
0.7919413447380066
0 references
0.7593226432800293
0 references
0.7585209608078003
0 references
0.7496996521949768
0 references
