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Tracy-Widom limit for Kendalls tau

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 نشر من قبل Zhigang Bao
 تاريخ النشر 2017
  مجال البحث
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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.



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