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

DOI10.1016/J.JMVA.2022.105011MaRDI QIDQ2146458zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

Kendall's correlationlimiting spectral distributionrandom matrix theorySpearman's correlation

Mathematics Subject Classification ID

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

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Cites work

• A Class of Statistics with Asymptotically Normal Distribution
• A NEW MEASURE OF RANK CORRELATION
• An overview of the estimation of large covariance and precision matrices
• Central limit theorem for linear spectral statistics of large dimensional Kendall's rank correlation matrices and its applications
• Concentration of measure and spectra of random matrices: applications to correlation matrices, elliptical distributions and beyond
• DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
• Distribution-free tests of independence in high dimensions
• High-dimensional semiparametric Gaussian copula graphical models
• scientific article; zbMATH DE number 5278585 (Why is no real title available?)
• Marčenko-Pastur law for Kendall's tau
• Regularized rank-based estimation of high-dimensional nonparanormal graphical models
• Robust Scatter Matrix Estimation for High Dimensional Distributions With Heavy Tail
• Robust test for independence in high dimensions
• Spectral analysis of large dimensional random matrices
• Spectral statistics of large dimensional Spearman's rank correlation matrix and its application
• Symmetric rank covariances: a generalized framework for nonparametric measures of dependence
• Testing independence in high dimensions with sums of rank correlations
• The limiting distributions of eigenvalues of sample correlation matrices
• The nonparanormal: semiparametric estimation of high dimensional undirected graphs
• Tracy-Widom limit for Kendall's tau

Cited in

(11)

• Tracy-Widom limit for Kendall's tau
• Marčenko-Pastur law for Kendall's tau
• ON THE SPECTRAL DECOMPOSITION OF EMPIRICAL CORRELATION MATRICES
• Generic features in the spectral decomposition of correlation matrices
• Limiting spectral distribution of large dimensional Spearman's rank correlation matrices
• Statistical inference on kurtosis of independent component model
• Robust Estimation for Number of Factors in High Dimensional Factor Modeling via Spearman Correlation Matrix
• Testing for latent structure via the Wilcoxon-Wigner random matrix of normalized rank statistics
• Ties, tails and spectra: on rank-based dependency measures in high dimensions
• Central limit theorem for linear spectral statistics of large dimensional Kendall's rank correlation matrices and its applications
• Spectral statistics of large dimensional Spearman's rank correlation matrix and its application

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