Marčenko-Pastur law for Kendall's tau
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Publication:2362533
DOI10.1214/17-ECP59zbMath1366.60007arXiv1611.04505MaRDI QIDQ2362533
Afonso S. Bandeira, Philippe Rigollet, Asad Lodhia
Publication date: 10 July 2017
Published in: Electronic Communications in Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1611.04505
Measures of association (correlation, canonical correlation, etc.) (62H20) Random matrices (probabilistic aspects) (60B20) Random matrices (algebraic aspects) (15B52)
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Central limit theorem for linear spectral statistics of large dimensional Kendall's rank correlation matrices and its applications ⋮ Limiting spectral distribution of large dimensional Spearman's rank correlation matrices ⋮ On eigenvalues of a high-dimensional Kendall's rank correlation matrix with dependence ⋮ Tracy-Widom limit for Kendall's tau ⋮ High-dimensional sample covariance matrices with Curie-Weiss entries
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