Mathematics Colloquia and Seminars
Marcenko-Pastur Law for Kendall's TauMathematical Physics & Probability
|Speaker:||Asad Lodhia, University of Michigan|
|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.