Tracy-Widom limit for Kendall's tau (Q2284382)
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| Language | Label | Description | Also known as |
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| English | Tracy-Widom limit for Kendall's tau |
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Tracy-Widom limit for Kendall's tau (English)
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15 January 2020
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In this work the Tracy-Widom law for the Kendall rank correlation matrix has been obtained. The Kendall rank correlation matrix is a multivariate U-statistic. The method developed in this paper, to a certain extent, has potential applications to other high-dimensional U-statistics.
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Tracy-Widom law
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largest eigenvalue
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nonparametric statistics
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U-statistics
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random matrices
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