English

Limiting spectral distributions of large consistent rank correlation matrices

Probability 2026-04-30 v1 Statistics Theory Statistics Theory

Abstract

We study random matrices whose entries are obtained by applying consistent rank correlations, such as Hoeffding's DD, pairwise to a high-dimensional random vector with mutually independent components. Prior work has shown that, in the proportional high-dimensional regime, the empirical spectral distributions of large Kendall's tau and Spearman's rho matrices converge weakly almost surely to the Marchenko--Pastur law. By contrast, we prove that for consistent rank correlations such as Hoeffding's DD, the limiting spectral distribution is given by the semicircle law. Our result thus generalizes a recent work of Dong, Han, and Yao (2025), who considered the special case of Chatterjee's rank correlation and established the first semicircle law for a large correlation matrix in the proportional regime.

Keywords

Cite

@article{arxiv.2604.26396,
  title  = {Limiting spectral distributions of large consistent rank correlation matrices},
  author = {Zhaorui Dong and Fang Han and Jianfeng Yao},
  journal= {arXiv preprint arXiv:2604.26396},
  year   = {2026}
}
R2 v1 2026-07-01T12:40:40.800Z