Tracy-Widom limit for Kendall's tau
Statistics Theory
2020-05-18 v3 Probability
Statistics Theory
Abstract
In this paper, we study a high-dimensional random matrix model from nonparametric statistics called the Kendall rank correlation matrix, which is a natural multivariate extension of the Kendall rank correlation coefficient. We establish the Tracy-Widom law for its largest eigenvalue. It is the first Tracy-Widom law for a nonparametric random matrix model, and also the first Tracy-Widom law for a high-dimensional U-statistic.
Keywords
Cite
@article{arxiv.1712.00892,
title = {Tracy-Widom limit for Kendall's tau},
author = {Zhigang Bao},
journal= {arXiv preprint arXiv:1712.00892},
year = {2020}
}
Comments
supplementary material is attached to the end of the paper for the convenience of the reader