Marcenko-Pastur law for Kendall's tau

被引：4

作者：

Bandeira, Afonso S. ^{[1
]}

Lodhia, Asad ^{[2
]}

Rigollet, Philippe ^{[2
]}

机构：

[1] NYU, Courant Inst Math Sci, New York, NY 10003 USA

[2] MIT, Dept Math, Cambridge, MA 02139 USA

来源：

ELECTRONIC COMMUNICATIONS IN PROBABILITY | 2017年 / 22卷

基金：

美国国家科学基金会;

关键词：

statistics; random matrix theory;

D O I：

10.1214/17-ECP59

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We prove that Kendall's Rank correlation matrix converges to the Mar. cenko 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.

引用

页数：7

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