Compatible Matrices of Spearman's Rank Correlation
Statistics Theory
2019-04-04 v3 Applications
Statistics Theory
Abstract
In this paper, we provide a negative answer to a long-standing open problem on the compatibility of Spearman's rho matrices. Following an equivalence of Spearman's rho matrices and linear correlation matrices for dimensions up to 9 in the literature, we show non-equivalence for dimensions 12 or higher. In particular, we connect this problem with the existence of a random vector under some linear projection restrictions in two characterization results.
Keywords
Cite
@article{arxiv.1810.03477,
title = {Compatible Matrices of Spearman's Rank Correlation},
author = {Bin Wang and Ruodu Wang and Yuming Wang},
journal= {arXiv preprint arXiv:1810.03477},
year = {2019}
}