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Marcenko-Pastur Law for Kendall's Tau

Mathematical Physics & Probability

Speaker: Asad Lodhia, University of Michigan
Location: 1147 MSB
Start time: Wed, Oct 25 2017, 4:10PM

We prove that the spectrum of Kendall's Rank Correlation matrix converges to a rescaled Marcenko-Pastur law under the assumption that the observations X_1,...,X_n are i.i.d random vectors whose components are independent and absolutely continuous with respect to the Lebesgue Measure.