Limiting spectral distribution of large dimensional Spearman's rank correlation matrices

DOI10.1016/J.JMVA.2022.105011OpenAlexW4226375360WikidataQ114157881 ScholiaQ114157881MaRDI QIDQ2146458FDOQ2146458

Authors: Zeyu Wu, Cheng Wang 

Publication date: 16 June 2022

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2112.12347

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zbMATH Keywords

random matrix theorylimiting spectral distributionKendall's correlationSpearman's correlation

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Order statistics; empirical distribution functions (62G30) Multivariate analysis (62Hxx)

Cites Work

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• Spectral statistics of large dimensional Spearman's rank correlation matrix and its application
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• Central limit theorem for linear spectral statistics of large dimensional Kendall's rank correlation matrices and its applications
• Robust Scatter Matrix Estimation for High Dimensional Distributions With Heavy Tail

Cited In (3)

• ON THE SPECTRAL DECOMPOSITION OF EMPIRICAL CORRELATION MATRICES
• Limiting spectral distribution of large dimensional Spearman's rank correlation matrices
• Statistical inference on kurtosis of independent component model

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