| Title | On eigenvalues of a high-dimensional Kendall's rank correlation matrix with dependence |
| Author | |
| Corresponding Author | Wang, Cheng |
| Publication Years | 2023-09-01
|
| DOI | |
| Source Title | |
| ISSN | 1674-7283
|
| EISSN | 1869-1862
|
| Abstract | In this paper, we investigate the limiting spectral distribution of a high-dimensional Kendall's rank correlation matrix. The underlying population is allowed to have a general dependence structure. The result no longer follows the generalized Marcenko-Pastur law, which is brand new. It is the first result on rank correlation matrices with dependence. As applications, we study Kendall's rank correlation matrix for multivariate normal distributions with a general covariance matrix. From these results, we further gain insights into Kendall's rank correlation matrix and its connections with the sample covariance/correlation matrix. |
| Keywords | |
| URL | [Source Record] |
| Indexed By | |
| Language | English
|
| SUSTech Authorship | First
|
| Funding Project | National Natural Science Foundation of China["12031005","12101292","12171099"]
; Natural Science Foundation of Shanghai[21ZR1432900]
|
| WOS Research Area | Mathematics
|
| WOS Subject | Mathematics, Applied
; Mathematics
|
| WOS Accession No | WOS:001065971200001
|
| Publisher | |
| Data Source | Web of Science
|
| Citation statistics |
Cited Times [WOS]:0
|
| Document Type | Journal Article |
| Identifier | http://kc.sustech.edu.cn/handle/2SGJ60CL/571839 |
| Department | Department of Statistics and Data Science |
| Affiliation | 1.Southern Univ Sci & Technol, Dept Stat & Data Sci, Shenzhen 518055, Peoples R China 2.Shanghai Jiao Tong Univ, Sch Math Sci, Shanghai 200240, Peoples R China 3.Shanghai Jiao Tong Univ, Key Lab Sci & Engn Comp, Shanghai 200240, Peoples R China 4.Fudan Univ, Sch Data Sci, Shanghai 200433, Peoples R China |
| First Author Affilication | Department of Statistics and Data Science |
| First Author's First Affilication | Department of Statistics and Data Science |
| Recommended Citation GB/T 7714 |
Li, Zeng,Wang, Cheng,Wang, Qinwen. On eigenvalues of a high-dimensional Kendall's rank correlation matrix with dependence[J]. SCIENCE CHINA-MATHEMATICS,2023.
|
| APA |
Li, Zeng,Wang, Cheng,&Wang, Qinwen.(2023).On eigenvalues of a high-dimensional Kendall's rank correlation matrix with dependence.SCIENCE CHINA-MATHEMATICS.
|
| MLA |
Li, Zeng,et al."On eigenvalues of a high-dimensional Kendall's rank correlation matrix with dependence".SCIENCE CHINA-MATHEMATICS (2023).
|
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