Marčenko-Pastur law for Kendall's tau

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

zbMATH Keywords

random matrix theorystatistics

Mathematics Subject Classification ID

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

Related Items (5)

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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