Limiting spectral distribution of large dimensional Spearman’s rank correlation matrices
نویسندگان
چکیده
In this paper, we study the empirical spectral distribution of Spearman's rank correlation matrices, under assumption that observations are independent and identically distributed random vectors features correlated. We show limiting is generalized Mar\u{c}enko-Pastur law with covariance matrix observation after standardized transformation. With these results, compare several classical covariance/correlation matrices including sample matrix, Pearson's Kendall's matrix.
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2022
ISSN: ['0047-259X', '1095-7243']
DOI: https://doi.org/10.1016/j.jmva.2022.105011