Marčenko-Pastur law for Kendall's tau

DOI10.1214/17-ECP59MaRDI QIDQ2362533zbMATH OpenFDO

Authors Afonso S. Bandeira, Asad Lodhia, Philippe Rigollet

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, https://projecteuclid.org/euclid.ecp/1496455233

zbMATH Keywords

random matrix theorystatistics

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Measures of association (correlation, canonical correlation, etc.) (62H20)

Abstract: We prove that Kendall's Rank correlation matrix converges to the Marv{c}enko-Pastur law, under the assumption that the observations are i.i.d random vectors $X_1$, $dots$, $X_n$ with components that are independent and absolutely continuous with respect to the Lebesgue measure. This is the first result on the empirical spectral distribution of a multivariate $U$-statistic.

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Cited in

(13)

• Limiting spectral distribution of large dimensional Spearman's rank correlation matrices
• Tracy-Widom limit for Kendall's tau
• Marčenko-Pastur law for Tyler's M-estimator
• High-dimensional sample covariance matrices with Curie-Weiss entries
• On eigenvalues of a high-dimensional Kendall's rank correlation matrix with dependence
• Spectrum of high-dimensional sample covariance and related matrices: a selective review
• Statistical inference on kurtosis of independent component model
• Another Marčenko-Pastur law for Kendall's tau
• 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
• A central limit theorem for moderately high-dimensional Kendall's cross-correlation matrices with applications to independence testing
• 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

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