Marčenko-Pastur law for Kendall’s tau

Author(s)
Bandeira, Afonso S.; Lodhia, Asad Iqbal; Rigollet, Philippe
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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 X[subscript 1 ]…,X[subscript n] 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. Keywords: statistics; random matrix theory
Date issued
2017
URI
http://hdl.handle.net/1721.1/115158
Department
Massachusetts Institute of Technology. Department of Mathematics
Journal
Electronic Communications in Probability
Publisher
Institute of Mathematical Statistics
Citation
Bandeira, Afonso S., et al. “Marčenko-Pastur Law for Kendall’s Tau.” Electronic Communications in Probability, vol. 22, no. 0, 2017. © 2018 The Institute of Mathematical Statistics and the Bernoulli Society
Version: Final published version
ISSN
1083-589X
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