Marčenko-Pastur law for Kendall’s tau
نویسندگان
چکیده
We prove that Kendall’s Rank correlation matrix converges to the Marčenko Pastur law, under the assumption that observations are i.i.d random vectors X1, . . . , Xn with components that are independent and absolutely continuous with respect to the Lebesgue measure. This is the first result on the empirical spectral distribution of a multivariate U -statistic.
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