| dc.contributor.author | Bandeira, Afonso S. | |
| dc.contributor.author | Lodhia, Asad Iqbal | |
| dc.contributor.author | Rigollet, Philippe | |
| dc.date.accessioned | 2018-05-02T14:30:03Z | |
| dc.date.available | 2018-05-02T14:30:03Z | |
| dc.date.issued | 2017 | |
| dc.identifier.issn | 1083-589X | |
| dc.identifier.uri | http://hdl.handle.net/1721.1/115158 | |
| dc.description.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 | en_US |
| dc.description.sponsorship | National Science Foundation (U.S.) (Grant NSF-MS-1307704) | en_US |
| dc.description.sponsorship | National Science Foundation (U.S.) (CAREER DMS-1541099) | en_US |
| dc.description.sponsorship | National Science Foundation (U.S.) (DMS-1541100) | en_US |
| dc.description.sponsorship | United States. Defense Advanced Research Projects Agency (W911NF-16-1-0551) | en_US |
| dc.description.sponsorship | United States. Office of Naval Research (N00014-17-1-2147) | en_US |
| dc.description.sponsorship | NEC Corporation | en_US |
| dc.publisher | Institute of Mathematical Statistics | en_US |
| dc.relation.isversionof | http://dx.doi.org/10.1214/17-ECP59 | en_US |
| dc.rights | Creative Commons Attribution 4.0 International License | en_US |
| dc.rights.uri | http://creativecommons.org/licenses/by/4.0/ | en_US |
| dc.source | Electronic Communications in Probability | en_US |
| dc.title | Marčenko-Pastur law for Kendall’s tau | en_US |
| dc.type | Article | en_US |
| dc.identifier.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 | en_US |
| dc.contributor.department | Massachusetts Institute of Technology. Department of Mathematics | en_US |
| dc.contributor.mitauthor | Lodhia, Asad Iqbal | |
| dc.contributor.mitauthor | Rigollet, Philippe | |
| dc.relation.journal | Electronic Communications in Probability | en_US |
| dc.eprint.version | Final published version | en_US |
| dc.type.uri | http://purl.org/eprint/type/JournalArticle | en_US |
| eprint.status | http://purl.org/eprint/status/PeerReviewed | en_US |
| dc.date.updated | 2018-04-24T17:48:52Z | |
| dspace.orderedauthors | Bandeira, Afonso S.; Lodhia, Asad; Rigollet, Philippe | en_US |
| dspace.embargo.terms | N | en_US |
| dc.identifier.orcid | https://orcid.org/0000-0002-6677-5349 | |
| dc.identifier.orcid | https://orcid.org/0000-0002-0135-7162 | |
| mit.license | PUBLISHER_CC | en_US |
