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

DOI10.1016/j.jmva.2022.105011OpenAlexW4226375360WikidataQ114157881 ScholiaQ114157881MaRDI QIDQ2146458

Cheng Wang, Zeyu Wu

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

random matrix theorylimiting spectral distributionKendall's correlationSpearman's correlation

Mathematics Subject Classification ID

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

Cites Work

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