Marčenko-pastur law for Kendall’s tau

Afonso Bandeira, Asad Lodhia, Philippe Rigollet

Research output: Contribution to journalArticle

Abstract

We prove that Kendall’s Rank correlation matrix converges to the Marčenko Pastur law, under the assumption that observations are i.i.d random vectors X1,…,Xn 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.

Original languageEnglish (US)
Article number32
JournalElectronic Communications in Probability
Volume22
DOIs
StatePublished - 2017

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Keywords

  • Random matrix theory
  • Statistics

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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