Limiting spectral distributions of large consistent rank correlation matrices
Abstract
We study random matrices whose entries are obtained by applying consistent rank correlations, such as Hoeffding's , 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 , 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.
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}
}