Central limit theorem for linear spectral statistics of large dimensional Kendall's rank correlation matrices and its applications
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Publication:820817
central limit theoremhigh dimensional independent testKendall's rank correlation matriceslinear spectral statisticsrandom matrix theory
Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05) Statistics of extreme values; tail inference (62G32) Multivariate distribution of statistics (62H10) Hypothesis testing in multivariate analysis (62H15) Measures of association (correlation, canonical correlation, etc.) (62H20) Inference from stochastic processes and spectral analysis (62M15)
Abstract: This paper is concerned with the limiting spectral behaviors of large dimensional Kendall's rank correlation matrices generated by samples with independent and continuous components. We do not require the components to be identically distributed, and do not need any moment conditions, which is very different from the assumptions imposed in the literature of random matrix theory. The statistical setting in this paper covers a wide range of highly skewed and heavy-tailed distributions. We establish the central limit theorem (CLT) for the linear spectral statistics of the Kendall's rank correlation matrices under the Marchenko-Pastur asymptotic regime, in which the dimension diverges to infinity proportionally with the sample size. We further propose three nonparametric procedures for high dimensional independent test and their limiting null distributions are derived by implementing this CLT. Our numerical comparisons demonstrate the robustness and superiority of our proposed test statistics under various mixed and heavy-tailed cases.
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Cited in
(25)- An extreme-value approach for testing the equality of large U-statistic based correlation matrices
- Detection of block-exchangeable structure in large-scale correlation matrices
- Applications on linear spectral statistics of high-dimensional sample covariance matrix with divergent spectrum
- Limiting spectral distribution of large dimensional Spearman's rank correlation matrices
- Tracy-Widom limit for Kendall's tau
- Marčenko-Pastur law for Kendall's tau
- Statistical analysis of latent generalized correlation matrix estimation in transelliptical distribution
- High dimensional correlation matrices: the central limit theorem and its applications
- On eigenvalues of a high-dimensional Kendall's rank correlation matrix with dependence
- A CLT for the LSS of large-dimensional sample covariance matrices with diverging spikes
- Testing for practically significant dependencies in high dimensions via bootstrapping maxima of U-statistics
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- Statistical inference on kurtosis of independent component model
- Spectral statistics of sample block correlation matrices
- Another Marčenko-Pastur law for Kendall's tau
- Testing for latent structure via the Wilcoxon-Wigner random matrix of normalized rank statistics
- Spectral properties of high-dimensional rescaled sample correlation matrices
- A central limit theorem for moderately high-dimensional Kendall's cross-correlation matrices with applications to independence testing
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- Another Marčenko-Pastur law for Kendall's tau
- Kendall's tau-type rank statistics in genome data.
- Spectral statistics of large dimensional Spearman's rank correlation matrix and its application
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