Marčenko-Pastur law for Kendall’s tau
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...
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| Format: | Article |
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Institute of Mathematical Statistics
2018
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| Online Access: | http://hdl.handle.net/1721.1/115158 https://orcid.org/0000-0002-6677-5349 https://orcid.org/0000-0002-0135-7162 |